By Wendy Van Sickle
Columbus, Ohio, March 21 – JPMorgan Chase Financial Co. LLC priced $4.64 million of contingent interest autocallable notes due June 20, 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.
Each quarter, the notes will pay a contingent coupon at a rate of 5.25% per year if each underlying index closes at or above its downside threshold level, 70% of its initial level, on the review date for that quarter.
The notes will be automatically called at par plus the contingent coupon if each underlying index closes at or above its initial level on any quarterly review date other than the final date.
If the notes have not been called, the payout at maturity will be par unless either index has closed below its 70% downside threshold any day during the life of the notes and either index finishes below its initial level, in which case investors will lose 1% for every 1% that the worse performer declines from its initial level.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC handling distribution.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $4,644,000
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| Maturity: | June 20, 2018
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| Coupon: | 5.25% per year, payable each quarter that each underlying index closes at or above its downside threshold on the review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless either index finishes below its initial level and either index closes below downside threshold any day during life of notes, in which case investors will lose 1% for every 1% that the worse performer declines from its initial level
|
| Call: | At par plus the contingent coupon if each underlying index closes at or above its initial level on any quarterly review date other than the final date
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| Initial levels: | 2,385.26 for S&P, 1,382.830 for Russell
|
| Downside thresholds: | 1,669.682 for S&P, 967.981 for Russell; 70% of initial levels
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| Pricing date: | March 15
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| Settlement date: | March 20
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC handling distribution
|
| Fees: | 2.07655%
|
| Cusip: | 46646QP82
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