By Susanna Moon
Chicago, Jan. 30 – JPMorgan Chase Financial Co. LLC priced $5.57 million of 0% autocallable contingent interest notes due Jan. 31, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent quarterly coupon at an annual rate of 6% if each index closes at or above its coupon barrier, 50% of its initial level, on the review date for that quarter.
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 first, second, third and final dates.
The payout at maturity will be par unless either index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
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: | S&P 500 and Russell 2000
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| Amount: | $5,572,000
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| Maturity: | Jan. 31, 2022
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| Coupon: | 0%
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| Price: | Par
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| Coupon: | 6% annualized, payable quarterly if each underlying index closes at or above 50% coupon barrier on review date for that quarter
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| Payout at maturity: | Par unless either index falls below 50% trigger, in which case full exposure to any losses 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 review date other than first, second, third and final dates
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| Initial index levels: | 2,296.68 for S&P and 1,375.595 for Russell
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| Trigger levels: | 1,148.34 for S&P and 687.7975 for Russell; 50% of initial levels
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.55456%
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| Cusip: | 46646QJB2
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