By Susanna Moon
Chicago, Aug. 3 – JPMorgan Chase Financial Co. LLC priced $556,000 of 0% step-up autocallable contingent buffered return enhanced notes due July 29, 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 be called at par plus an annual call premium of 8% if each index closes at or above its call level on an annual review date. The call level will be 104% of the initial level on the first review date and will step up by 4% on each subsequent observation date to 116% on the sixth review date.
If the notes are not called, the payout at maturity will be par plus 1.1 times any gain of the worse performing index.
Investors will receive par if each index falls by no more than 50% and will be fully exposed to any losses of the worse performing index if it falls by more than the contingent buffer.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Issue: | Step-up autocallable contingent buffered return enhanced notes
|
| Underlying indexes: | Russell 2000 index and S&P 500 index
|
| Amount: | $556,000
|
| Maturity: | July 29, 2022
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If notes are not called, par plus 1.1 times any gain of worse performing index; par if each index falls by up to 50%, full exposure to decline of worse performing index if it falls by more than 50%
|
| Call: | At par plus 8% per year if each index closes at or above its call level on an annual review date; call level will be 104% of the initial level on the first review date and will step up by 4% per year to 116% on the sixth review date
|
| Initial index levels: | 2,477.83 for S&P, 1,442.279 for Russell
|
| Contingent buffer: | 50%
|
| Pricing date: | July 26
|
| Settlement date: | July 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.89838%
|
| Cusip: | 46647MUN1
|
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