New Issue: JPMorgan sells $1.18 million contingent interest autocallables tied to index, funds

By Wendy Van Sickle

Columbus, Ohio, Aug. 24 – JPMorgan Chase Financial Co. LLC priced $1.18 million of autocallable contingent interest notes due Aug. 26, 2021 linked to the least performing of the Russell 2000 index, the SPDR S&P Oil & Gas Exploration & Production ETF and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 7.5% if each underlying index or fund closes at or above its 60% coupon barrier on review date for that quarter.

The notes will be called at par plus the contingent coupon if each underlying component closes at or above its initial level on any review date other than the first, second, third and final ones.

The payout at maturity will be par unless any underlying component finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worst performing index or fund.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Autocallable contingent interest notes
Underlying assets:	Russell 2000 index, SPDR S&P Oil & Gas Exploration & Production ETF and iShares MSCI EAFE ETF
Amount:	$1,176,000
Maturity:	Aug. 26, 2021
Coupon:	7.5% annualized, payable quarterly if each underlying component closes at or above 60% coupon barrier on review date that quarter
Price:	Par
Payout at maturity:	Par plus contingent coupon unless any component finishes below trigger level, in which case 1% loss for each 1% decline of worst performing index or fund
Call:	At par plus contingent coupon if each component closes at or above initial level on any review date other than the first, second, third and final dates
Initial levels:	1,371.537 for Russell, $66.49 for EAFE and $29.34 for Oil & Gas
Coupon barriers:	822.9222 for Russell, $39.894 for EAFE and $17.604 for Oil & Gas; 60% of initial levels
Trigger levels:	822.9222 for Russell, $39.894 for EAFE and $17.604 for Oil & Gas; 60% of initial levels
Pricing date:	Aug. 22
Settlement date:	Aug. 25
Agent:	J.P. Morgan Securities LLC
Fees:	3.65%
Cusip:	46647MK28

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