By Susanna Moon
Chicago, Feb. 16 – JPMorgan Chase Financial Co. LLC priced $1 million of callable contingent interest notes due Feb. 4, 2021 linked to the least performing of the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 9% if each underlying component closes at or above its 60% coupon barrier on the review date for that month.
The notes are callable at par on any review date other than the first, second, third, fourth, fifth and final dates.
The payout at maturity will be par unless either component finishes below its 55% trigger level, in which case investors will be fully exposed to any losses of the worse performing index or fund.
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: | Callable contingent interest notes
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| Underlying assets: | Russell 2000 index and iShares MSCI Emerging Markets ETF
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| Amount: | $1 million
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| Maturity: | Feb. 4, 2021
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| Coupon: | 9% annualized, payable monthly if each component closes at or above 60% coupon barrier on review date for that month
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| Price: | Par
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| Payout at maturity: | Par unless either component finishes below 55% trigger, in which case 1% loss for each 1% decline of worse performing index or fund
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| Call option: | At par on any quarterly review date other than first, second, third, fourth, fifth and final dates
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| Initial levels: | 1,574.982 for Russell and $36.91 for fund
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| Coupon barriers: | 944.9892 for Russell and $22.146 for fund; 60% of initial levels
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| Trigger levels: | 866.2401 for Russell and $20.3005 for fund; 55% of initial levels
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| Strike date: | Jan. 31
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| Pricing date: | Feb. 1
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| Settlement date: | Feb. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48129H3W5
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