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Published on 6/8/2020 in the Prospect News Structured Products Daily.

New Issue: JPMorgan prices $2.93 million contingent coupon autocallable yield notes on ETFs

By Kiku Steinfeld

Chicago, June 8 – JPMorgan Chase Financial Co. LLC priced $2.93 million of contingent coupon autocallable yield notes due June 3, 2022 linked to the Communication Services Select Sector SPDR fund, the SPDR S&P Retail ETF and the Health Care Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The notes pay a contingent quarterly coupon at an annual rate of 14% if each ETF closes above its 70% barrier on the observation date for that quarter.

The notes will be called at par if each ETF closes at or above its initial level on any quarterly observation date.

If the notes are not called, the payout at maturity will be par unless any ETF finishes below its barrier, in which case investors will be fully exposed to the decline of the least-performing ETF.

J.P. Morgan Securities LLC is the agent.

Issuer:JPMorgan Chase Financial Co. LLC
Guarantor:JPMorgan Chase & Co.
Issue:Contingent coupon autocallable yield notes
Underlying funds:Communication Services Select Sector SPDR fund, the SPDR S&P Retail ETF and Health Care Select Sector SPDR Fund
Amount:$2,931,000
Maturity:June 3, 2022
Coupon:14% per year, payable quarterly if each ETF closes at or above barrier level on observation date for that quarter
Price:Par
Payout at maturity:Par plus the final coupon unless any ETF finishes below its 70% barrier level, in which case 1% loss for each 1% decline of the worst-performing ETF
Call option:At par if each index closes at or above its initial level on any quarterly observation date
Initial levels:$40.80 for Retail, $54.02 for Communications, $103.01 for Health Care
Barrier levels:$28.56 for Retail, $37.814 for Communications, $72.107 for Health Care, 70% of initial levels
Pricing date:May 29
Settlement date:June 4
Agent:J.P. Morgan Securities LLC
Fees:1.75%
Cusip:48132MAP6

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