By Tali Rackner
Norfolk, Va., June 10 – JPMorgan Chase Financial Co. LLC priced $2 million of trigger callable contingent yield notes with daily coupon observation due June 7, 2018 linked to the least performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes pay a contingent coupon at an annual rate of 11.8% if each index’s closing level remains at or above its downside threshold level, 75% of its initial level, on each day during that quarter.
After one year, the notes are callable at par of $10 on each quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its 75% downside threshold level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying indexes: | S&P 500, Euro Stoxx 50 and Russell 2000
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| Amount: | $2 million
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| Maturity: | June 7, 2018
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| Coupon: | 11.8% per year, payable quarterly if each index closes at or above its downside threshold level on each day during that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above downside threshold level, par; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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| Call option: | After one year, at par on each quarterly observation date other than final one
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| Initial levels: | 2,096.96 for S&P 500, 3,063.48 for Euro Stoxx 50 and 1,154.792 for Russell 2000
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| Downside thresholds: | 1,572.72 for S&P 500, 2,297.61 for Euro Stoxx 50 and 866.094 for Russell 2000; 75% of initial levels
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| Pricing date: | June 1
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| Settlement date: | June 8
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 46646W623
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