By Wendy Van Sickle
Columbus, Ohio, Aug. 9 – JPMorgan Chase Financial Co. LLC priced $1 million of callable contingent interest notes due July 31, 2020 linked to the lesser performing of the Russell 2000 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
Each month, the notes pay a contingent coupon at an annual rate of 8.8% if each underlier closes at or above its interest barrier, 60% of its initial level, on the review date for that month.
The notes are callable in whole but not in part at par plus the contingent coupon, if any, on any interest payment date other than the first and final dates.
If the notes have not been called, the payout at maturity will be par plus the contingent coupon unless either underlier finishes below its trigger value, 55% of its initial level, in which case investors will lose 1% for each 1% decline of the least-performing underlier from its initial level.
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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| Underlyings: | Russell 2000 index and SPDR S&P Oil & Gas Exploration & Production exchange-traded fund
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| Amount: | $1 million
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| Maturity: | July 31, 2020
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| Coupon: | 8.8% annualized, payable monthly if each underlying closes at or above interest barrier level on review date for that month
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless any underlying finishes below trigger level, in which case 1% loss for each 1% decline of worse performing underlying from initial level
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| Call: | At par plus contingent coupon if each underlying closes at or above initial level on any review date other than first and final dates
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| Initial levels: | 1,429.260 for index, $32.84 fund
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| Interest barriers: | 857.566 for index, $19.704 for fund; 60% of initial levels
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| Trigger levels: | 786.093 for index, $18.062 for fund; 55% of initial levels
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| Pricing date: | July 31
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| Settlement date: | Aug. 3
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 46647MF65
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