By Susanna Moon
Chicago, Sept. 27 – JPMorgan Chase Financial Co. LLC priced $1 million of autocallable contingent interest notes due Sept. 29, 2020 linked to the lesser performing of the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 6.25% if each underlying index or fund closes at or above its 60% coupon barrier on the review date for that period.
The notes are callable at par plus the contingent coupon on any review date other than the final date.
The payout at maturity will be par unless either component finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing component.
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: | S&P 500 index and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $1 million
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| Maturity: | Sept. 29, 2020
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| Coupon: | 6.25% annualized, payable semiannually if each component closes at or above 60% coupon barrier on review date for that period
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless either component finishes below trigger, in which case 1% loss for each 1% decline of worse performing component
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| Call option: | At par on any review date other than final date
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| Initial levels: | 2,502.22 for S&P and $33.04 for oil fund
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| Trigger levels: | 1,501.332 for S&P and $19.824 for oil fund; 60% of initial levels
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| Pricing date: | Sept. 22
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| Settlement date: | Sept. 29
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 48129HAR8
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