By Susanna Moon
Chicago, May 16 – JPMorgan Chase Financial Co. LLC priced $660,000 of autocallable contingent interest notes due May 11, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 5.75% if each index closes at or above its 55% coupon barrier on the review date for that period.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par unless either index finishes below its 55% 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 contingent interest notes
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| Underlying indexes: | Russell 2000 index, S&P 500 index
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| Amount: | $660,000
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| Maturity: | May 11, 2022
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| Coupon: | 5.75% annualized, payable semiannually if each index closes at or above 55% coupon barrier on review date for that period
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| Price: | Par
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| Payout at maturity: | Par unless either index finished below 55% trigger, in which case 1% loss for each 1% decline of worse performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than final date
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| Initial levels: | 1,565.603 for Russell and 2,663.42 for S&P
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| Trigger levels: | 861.08165 for Russell and 1,464.881 for S&P, 55% of initial levels
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| Pricing date: | May 4
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| Settlement date: | May 11
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.25%
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| Cusip: | 48129MPD2
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