By Susanna Moon
Chicago, Nov. 1 – JPMorgan Chase Financial Co. LLC priced $1.13 million of 0% step-up autocallable contingent buffered return enhanced notes due Oct. 31, 2022 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 9.75% if each index closes above its call value on an annual call date other than the final date. The call level is 102% of the initial level on the first call date and steps up by 2% each subsequent year.
If each index finishes at or above its initial level, the payout at maturity will be par plus 1.5 times the gain of the worse performing index.
Investors will receive par if either index falls but by up to the 50% contingent buffer.
Otherwise, investors will be 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: | Step-up autocallable contingent buffered return enhanced notes
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| Underlying index: | Russell 2000, Euro Stoxx 50
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| Amount: | $1,126,00
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| Maturity: | Oct. 31, 2022
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| Coupon: | 0%
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| Price: | Par
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| Call: | At par plus 9.75% per year if each index closes above its call value on an annual call date other than final date; call level is 102% of the initial level on first call date and steps up by 2% each subsequent year to 108% on the fourth review date
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| Payout at maturity: | If each index gains, par plus 1.5 times return of worse performing index; par if either index falls by up to 50%; otherwise, 1% loss per 1% decline of worse performing index
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| Initial level: | 1,497.459 for Russell, 3,637.20 for Stoxx
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| Contingent buffer: | 50%
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| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.75%
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| Cusip: | 48129HBV8
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