By Susanna Moon
Chicago, April 3 – JPMorgan Chase Financial Co. LLC priced $1.09 million of autocallable contingent interest notes due March 23, 2023 linked to the lesser performing of the SPDR S&P 500 ETF Trust, the iShares Russell 2000 ETF and the SPDR Euro Stoxx 50 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 8% if each fund closes at or above its 60% coupon barrier on the review date for that period.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par unless any fund finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worst performing fund.
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 assets: | SPDR S&P 500 ETF Trust, iShares Russell 2000 ETF and SPDR Euro Stoxx 50 ETF
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| Amount: | $1,085,000
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| Maturity: | March 23, 2023
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| Coupon: | 8% annualized, payable semiannually if each fund 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 unless any fund closes below 60% trigger, in which case 1% loss for each 1% decline of worst performing fund
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| Call: | At par plus contingent coupon if each fund closes at or above initial level on any quarterly review date other than final date
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| Initial levels: | $270.49 for S&P fund, $156.28 for Russell fund and $40.71 for Stoxx fund
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| Trigger levels: | $162.294 for S&P fund, $93.768 for Russell fund and $24.426 for Stoxx fund; 60% of initial levels
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| Strike date: | March 19
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| Pricing date: | March 20
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| Settlement date: | March 23
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.42%
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| Cusip: | 48129MEX0
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