By Susanna Moon
Chicago, Aug. 27 – JPMorgan Chase Financial Co. LLC priced $1 million of autocallable contingent interest notes due Aug. 20, 2021 linked to the lesser performing of the Financial Select Sector SPDR Fund and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.4% if each fund closes at or above its 70% coupon barrier on the review date for that quarter.
The notes will be called at par if each fund closes at or above its initial level on any interest payment date other than the first and final dates.
The payout at maturity will be par unless either fund finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worst performing fund.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlying funds: | Financial Select Sector SPDR Fund and the SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $1 million
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| Maturity: | Aug. 20, 2021
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| Coupon: | 8.4% annualized, payable quarterly if each fund closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either fund closes below 70% trigger, in which case 1% loss for each 1% decline of worse performing fund
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| Call: | At par if each fund closes at or above its initial level on any interest payment date other than first and final dates
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| Initial levels: | $28.17 for financial fund, $39.70 for oil fund
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| Trigger levels: | $19.719 for financial fund, $27.79 for oil fund, 70% of initial levels
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| Pricing date: | Aug. 17
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| Settlement date: | Aug. 24
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.45%
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| Cusip: | 48130UBK0
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