New Issue: JPMorgan prices $1.45 million contingent interest autocalls on indexes, fund

By Sarah Lizee

Olympia, Wash., April 22 – JPMorgan Chase Financial Co. LLC priced $1.45 million of autocallable contingent interest notes due May 5, 2020 tied to the least performing of the iShares MSCI Emerging Markets ETF, 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 quarterly coupon, plus any previously unpaid coupons, at an annual rate of 9% if each underlying asset closes at or above its 75% coupon barrier on the coupon review date for that quarter.

The notes will be called at par plus the contingent coupon, plus any previously unpaid coupons, if each asset closes at or above its initial level on any quarterly autocall review date.

The payout at maturity will be par unless any underlier finishes below its 75% 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.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Autocallable contingent interest notes
Underlying assets:	iShares MSCI Emerging Markets ETF, Russell 2000 index and S&P 500 index
Amount:	$1.45 million
Maturity:	May 5, 2020
Coupon:	9% per year, payable quarterly if each asset closes at or above coupon barrier on review date for that quarter, plus any previously unpaid coupons
Price:	Par
Payout at maturity:	Par plus contingent coupon if each asset finishes at or above trigger value; otherwise, exposure to decline of least-performing asset from initial level
Call:	Automatically at par plus contingent coupon, plus any previously unpaid coupons, if each asset closes at or above initial price on any quarterly autocall review date
Initial levels:	2,905.03 for S&P, 1,565.748 for Russell and $44.56 for ETF
Coupon barriers:	2,178.7725 for S&P, 1,174.3110 for Russell and $33.42 for ETF; 75% of initial levels
Trigger values:	2,178.7725 for S&P, 1,174.3110 for Russell and $33.42 for ETF; 75% of initial levels
Pricing date:	April 18
Settlement date:	April 24
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48132CCU5

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