By Tali Rackner
Norfolk, Va., Aug. 11 – JPMorgan Chase Financial Co. LLC priced $802,000 of 0% digital notes due Sept. 13, 2017 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
A trigger event occurs if either index closes below its trigger value, 60% of its initial level, on any day during the life of the notes.
If a trigger event has not occurred, the payout will be par plus the contingent digital return of 7.5%.
If a trigger event has occurred and each index finishes at or above its initial level, the payout will be par.
If a trigger event has occurred and either index finishes below its initial level, investors will have one-to-one exposure to the decline 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: | Digital notes
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| Underlying indexes: | Russell 2000, Euro Stoxx 50
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| Amount: | $802,000
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| Maturity: | Sept. 13, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If trigger event does not occur, par plus 7.5%; if trigger event has occurred and each index finishes at or above initial level, par plus the return of the lesser-performing index; otherwise, 1% loss for every 1% that lesser-performing index declines by more than 40%
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| Initial index levels: | 1,230.422 for Russell 2000, 2,982.92 for Euro Stoxx 50
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| Trigger levels: | 738.2532 for Russell 2000, 1,789.752 for Euro Stoxx 50; 60% of initial levels
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| Pricing date: | Aug. 8
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| Settlement date: | Aug. 11
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 46646ETC6
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