By Susanna Moon
Chicago, Aug. 16 – JPMorgan Chase Financial Co. LLC priced $1.83 million of autocallable contingent interest notes due Aug. 12, 2021 linked to the least performing of the Russell 2000 index, the S&P 500 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 7.9% if each underlying index or fund closes at or above its 70% coupon barrier on review date for that month.
The notes will be called at par plus the contingent coupon if each underlying component closes at or above its initial level on any review date other than the first through 11th and final dates.
The payout at maturity will be par unless any underlying component finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worst performing index or fund.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is a distributor.
| 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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| Underlying indexes: | Russell 2000 index, S&P 500 index and iShares MSCI Emerging Markets ETF
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| Amount: | $1.25 million
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| Maturity: | Aug. 12, 2021
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| Coupon: | 7.9% annualized, payable monthly if each underlying component closes at or above 70% coupon barrier on review date that month
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any component finishes below trigger level, in which case 1% loss for each 1% decline of worst performing index or fund
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| Call: | At par plus contingent coupon if each component closes at or above initial level on any review date other than first through 11th and final dates
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| Strike levels: | 1,396.948 for Russell, 2,474.02 for S&P and $43.86 for fund
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| Coupon barriers: | 977.8636 for Russell, 1,731.814 for S&P and $30.702 for fund; 70% of initial levels
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| Trigger levels: | 838.1688 for Russell, 1,484.412 for S&P and $26.316 for fund; 60% of initial levels
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| Strike date: | Aug. 9
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| Pricing date: | Aug. 10
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| Settlement date: | Aug. 15
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC as distributor
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| Fees: | 0.6%
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| Cusip: | 46647MN41
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