By Wendy Van Sickle
Columbus, Ohio, July 31 – JPMorgan Chase Financial Co. LLC priced $565,000 of callable contingent interest accrual notes due Aug. 2, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
Each month, the notes will pay a contingent coupon equal to (a) $1,000 multiplied by (b) the quotient of “N” divided by 252 multiplied by (c) the contingent interest rate of 6.5% per year. “N” will be equal to the aggregate number of trading days that month on which each index closed at or above its trigger value, 80% of its initial level.
The notes will be callable at par on any interest payment date other than the first through 11th interest payment dates and the final interest payment date.
If the notes have not been called, the payout at maturity will be par unless either index finishes below its trigger value, in which case investors will lose 1% for every 1% that the lesser-performing index declines beyond 20%.
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: | Callable contingent interest accrual notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $565,000
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| Maturity: | Aug. 2, 2024
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| Coupon: | Each month, notes pay contingent coupon equal to (a) $1,000 multiplied by (b) number of days during that month on which each index closes at or above trigger level divided by 252 multiplied by (c) 6.5% per year
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless either index finishes below trigger level, in which case full exposure to decline of lesser-performing index
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| Call option: | At par on any interest payment date other than the first through 11th interest payment dates and the final interest payment date
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| Initial index levels: | 2,477.83 for S&P, 1,442.279 for Russell
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| Trigger levels: | 1,982.264 for S&P, 1,153.8232 for Russell; 80% of initial levels
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| Pricing date: | July 26
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| Settlement date: | July 31
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| Underwriters: | J.P. Morgan Securities LLC
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| Fees: | 3.5%
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| Cusip: | 46647MWF6
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