By Marisa Wong
Morgantown, W.Va., , March 27 – JPMorgan Chase Financial Co. LLC priced $540,000 of autocallable contingent interest notes due March 22, 2018 linked to the Russian ruble relative to the dollar, 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 10% if the spot rate on a quarterly review date is less than or equal to the interest barrier – 120% of the initial spot rate – meaning the ruble has not depreciated relative to the dollar beyond the interest barrier for a particular review date.
The notes will be called at par plus the contingent coupon if the spot rate is less than or equal to the initial spot rate – meaning the ruble has appreciated or remained flat relative to the dollar – on any quarterly review date other than the final date.
If the final spot rate is less than or equal to 120% of the initial spot rate, the payout at maturity will be par plus the contingent coupon. Otherwise, the payout will be par plus the currency return, with full exposure to losses.
J.P. Morgan Securities LLC is the underwriter.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlying currency: | Russian ruble relative to dollar
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| Amount: | $540,000
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| Maturity: | March 22, 2018
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| Coupon: | 10%, payable quarterly if spot rate on a quarterly review date is less than or equal to the interest barrier
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| Price: | Par
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| Payout at maturity: | Par unless final spot rate is greater than trigger rate, in which case par plus currency return, with full exposure to losses.
|
| Call: | At par plus contingent coupon if spot rate is less than or equal to the initial spot rate on any quarterly review date other than final date
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| Initial spot rate: | 57.8307 rubles per dollar
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| Interest barrier: | 69.39684, 120% of initial spot rate
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| Trigger rate: | 69.39684, 120% of initial spot rate
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| Pricing date: | March 17
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| Settlement date: | March 22
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| Underwriter: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 46646QV44
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