By Susanna Moon
Chicago, Nov. 15 – JPMorgan Chase Financial Co. LLC priced $1.21 million of autocallable contingent interest notes due Nov. 10, 2022 linked to the least performing of the SPDR S&P 500 exchange-traded fund Trust and the iShares Russell 2000 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 6% if each underlying component 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 component closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par unless either fund finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse 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 and iShares Russell 2000 ETF
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| Amount: | $1.21 million
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| Maturity: | Nov. 10, 2022
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| Coupon: | 6% 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 fund finishes below its trigger, in which case 1% loss for each 1% decline of worse performing fund
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| Call: | At par plus contingent coupon if each component closes at or above initial level on any review date other than final date
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| Initial levels: | $258.67 for S&P fund and $147.00 for Russell fund
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| Coupon barriers: | $181.069 for S&P fund and $102.90 for Russell fund; 70% of initial levels
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| Trigger levels: | $168.1355 for S&P fund and $95.55 for Russell fund; 65% of initial levels
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| Pricing date: | Nov. 7
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| Settlement date: | Nov. 10
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 48129HNH6
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