By Sarah Lizee
Olympia, Wash., March 20 – JPMorgan Chase Financial Co. LLC priced $1 million of autocallable contingent interest notes due March 18, 2021 linked to the least performing of the iShares Russell 2000 ETF, the SPDR S&P 500 ETF trust and the SPDR Euro Stoxx 50 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent quarterly coupon at an annual rate of 9% if each ETF closes at or above its 75% coupon barrier on the related quarterly review date.
The notes will be called at par plus the contingent coupon if each ETF closes at or above its initial level on any quarterly review date other than the final date.
The payout at maturity will be par unless any ETF falls by more than 25%, in which case investors will be exposed to any decline of the worst performing ETF.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying ETFs: | iShares Russell 2000 ETF, SPDR S&P 500 ETF trust and SPDR Euro Stoxx 50 ETF
|
| Amount: | $1 million
|
| Maturity: | March 18, 2021
|
| Coupon: | 9% per year, payable each quarter that each ETF closes at or above its coupon barrier on the related quarterly review date
|
| Price: | Par
|
| Payout at maturity: | Par unless either ETF finishes below trigger level, in which case 1% loss per 1% decline of the worst performing ETF
|
| Call: | Automatically at par plus the contingent coupon if each ETF closes at or above its initial level on any quarterly review date other than the final date
|
| Initial levels: | $37.18 for Stoxx ETF, $154.76 for Russell ETF and $281.31 for S&P ETF
|
| Coupon barriers: | $27.885 for Stoxx ETF, $116.07 for Russell ETF and $210.9825 for S&P ETF; 75% of initial levels
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| Trigger levels: | $27.885 for Stoxx ETF, $116.07 for Russell ETF and $210.9825 for S&P ETF; 75% of initial levels
|
| Pricing date: | March 18
|
| Settlement date: | March 20
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48130WK67
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