By Susanna Moon
Chicago, Aug. 27 – JPMorgan Chase Financial Co. LLC priced $950,000 of 0% review notes due Aug. 22, 2022 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 be called at par plus a call premium of 11.75% per year if each underlying asset closes at or above its initial level on any annual review date after one year.
The payout will be par plus 10% unless either fund falls below its 60% trigger level, in which case investors will receive par plus the return of the worse performing fund with full exposure to any losses.
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: | Review 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: | $950,000
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| Maturity: | Aug. 22, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 10% unless either fund falls by more than 40%, in which case return of worse performing fund with 1% loss for each 1% decline
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| Call: | At par plus 11.75% per year if each asset closes at or above initial level on first review date or 60% trigger on final review date
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| Initial levels: | $28.17 for financial fund, $39.70 for oil fund
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| Trigger levels: | $16.902 for financial fund, $23.82 for oil fund, 60% 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: | 2.7%
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| Cusip: | 48130UBD6
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