By Susanna Moon
Chicago, Aug. 18 – JPMorgan Chase Financial Co. LLC priced $1.99 million of autocallable contingent interest notes due Nov. 20, 2018 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7% if each index closes at or above its 70% coupon barrier on 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 review date other than the final date.
The payout at maturity will be par unless either index finishes below its initial level and ever closes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is a distributor.
| 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: | Russell 2000 index, S&P 500 index
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| Amount: | $1,994,000
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| Maturity: | Nov. 20, 2018
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| Coupon: | 7% annualized, payable quarterly if each index closes at or above 70% coupon barrier on review date that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless either index finishes below trigger level, in which case 1% loss for each 1% decline of worse performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any review date other than final date
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| Initial levels: | 1,383.237 for Russell, 2,464.61 for S&P
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| Triggers: | 968.2659 for Russell, 1,725.227 for S&P; 70% of initial levels
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| Pricing date: | Aug. 15
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| Settlement date: | Aug. 18
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC as distributor
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| Fees: | 0.47528%
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| Cusip: | 46647M3C5
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