By Susanna Moon
Chicago, Oct. 19 – JPMorgan Chase Financial Co. LLC priced $1.25 million of 0% autocallable notes due Oct. 16, 2020 linked to the lesser performing of the MSCI Emerging Markets index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 10.2% if each index closes at or above its call level on any annual valuation date.
The call level will be 100% of the initial level on the first valuation date, stepping down to 95% of the initial level on the second valuation date and to 90% of the initial level on the third valuation date.
The payout at maturity will be par unless either index finishes below its 75% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
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: | Autocallable notes
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| Underlying indexes: | MSCI Emerging Markets and Russell 2000
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| Amount: | $1.25 million
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| Maturity: | Oct. 16, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below trigger level, in which case 1% loss per 1% decline of worse performing index
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| Call: | At par plus call premium of 10.2% per year if each index closes at or above call level on any annual review date; call level will be 100% of initial level on first valuation date, 95% of initial level on second valuation date and 90% of initial level on third valuation date
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| Initial index levels: | 1,125.91 for MSCI Emerging Markets, 1,502.658 for Russell
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| Trigger levels: | 844.4325 for MSCI EM, 1,126.993 for Russell; 75% of initial levels
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| Pricing date: | Oct. 13
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| Settlement date: | Oct. 18
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.25%
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| Cusip: | 48129HGH4
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