By Wendy Van Sickle
Columbus, Ohio, Nov. 3 – JPMorgan Chase Financial Co. LLC priced $7.85 million of contingent income autocallable securities due Nov. 5, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes will pay a contingent payment at an annualized rate of 9.25% if each index closes at or above its 65% downside threshold level on each day during that quarter.
The notes will be redeemed at par of $10 plus the contingent payment if each index closes at or above the initial level on any determination date other than the final date.
The payout at maturity will be par plus the final coupon unless either index finishes below the 80% downside threshold level, in which case investors will be fully exposed to the losses of the least-performing index.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC with handling distribution.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $7,854,000
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| Maturity: | Nov. 5, 2018
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| Coupon: | 9.25% annualized, payable each quarter that each index closes at or above downside threshold level on each day during that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus the final coupon unless either index finishes below downside threshold level, in which case full exposure to any losses of least-performing index
|
| Call: | At par plus contingent coupon if each index closes at or above its initial level on any determination date other than final determination date
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| Initial levels: | 1,191.388 for Russell 2000, 2,126.15 for S&P 500
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| Downside thresholds: | 953.1104 for Russell 2000, 1,700.92 for S&P 500; 80% of initial levels
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| Pricing date: | Oct. 31
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| Settlement date: | Nov. 3
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 2%
|
| Cusip: | 46646EW65
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