By Susanna Moon
Chicago, Oct. 22 – JPMorgan Chase Financial Co. LLC priced $33.42 of contingent coupon autocallable yield notes due Oct. 1, 2020 linked to the worst performing of the SPDR S&P Retail ETF, the Health Care Select Sector SPDR Fund and the VanEck Vectors Semiconductor 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 12.57% if each underlying asset closes at or above its 75% coupon barrier on the observation date for that quarter.
The notes will be called at par plus the contingent coupon if each asset closes at or above its initial level on any observation date other than the valuation date.
The payout at maturity will be par unless any asset finishes below its 75% 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: | Contingent coupon autocallable yield notes
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| Underlying assets: | SPDR S&P Retail ETF, Health Care Select Sector SPDR Fund and VanEck Vectors Semiconductor ETF
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| Amount: | $33,417,000
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| Maturity: | Oct. 1, 2020
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| Coupon: | 12.57% annualized, payable quarterly if each asset closes at or above its 75% coupon barrier on observation date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each asset finishes at or above trigger level, par; otherwise, 1% loss for each 1% decline of worst performing fund
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| Call: | At par if each asset closes at or above its initial level on any observation date other than valuation date
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| Initial levels: | $51.26 for retail fund, $94.86 for health care fund or $105.87 for semiconductor fund
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| Trigger levels: | $38.445 for retail fund, $71.145 for health care fund or $$79.4025 for semiconductor fund, 75% of initial levels
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| Pricing date: | Sept. 27
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| Settlement date: | Oct. 2
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| Underwriter: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 48130UMG7
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