By Tali Rackner
Norfolk, Va., July 11 – JPMorgan Chase Financial Co. LLC priced $5 million of autocallable contingent interest notes due Jan. 3, 2018 linked to the lesser performing of the S&P 500 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.
The notes will pay a contingent quarterly coupon at an annual rate of 10.6% if each index closes at or above its barrier level, 85% of its initial level, on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each index 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 either index finishes below its 75% trigger level, in which case investors will be fully exposed to the loss of the lesser performing index.
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 indexes: | S&P 500 and Russell 2000
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| Amount: | $5 million
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| Maturity: | Jan. 3, 2018
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| Coupon: | 10.6% annualized, payable quarterly if each index closes at or above barrier level on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below trigger level, in which case exposure to loss of lesser performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than final date
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| Initial levels: | 2,036.09 for S&P and 1,107.298 for Russell
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| Barrier levels: | 1,730.6765 for S&P and 941.2033 for Russell; 85% of initial levels
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| Trigger levels: | 1,527.06575 for S&P and 830.4735 for Russell; 75% of initial levels
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| Pricing date: | June 28
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| Settlement date: | July 1
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.85%
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| Cusip: | 46646EKQ4
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