By Wendy Van Sickle
Columbus, Ohio, July 19 – JPMorgan Chase Financial Co. LLC priced $5.51 million of contingent income autocallable securities due July 18, 2019 linked to the worse 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 be guaranteed by JPMorgan Chase & Co.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9.6% if each index closes at or above its downside threshold level, 80% of its initial level, on the determination date for that quarter.
If each index closes at or above its initial level on any of the quarterly determination dates, other than the final date, the notes will be automatically called at par plus the contingent coupon.
If the notes are not called, the payout at maturity will be par plus the final contingent coupon unless either index finishes below the downside threshold level, in which case investors will be fully exposed to any losses of the worse performing index.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC handling distribution.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $5,508,000
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| Maturity: | July 18, 2019
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| Coupon: | 9.6% per year, payable quarterly if each index closes at or above downside threshold level on determination date for that quarter
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| Price: | Par of $10.00
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| Payout at maturity: | Par plus final contingent coupon if each index finishes at or above downside threshold; otherwise, full exposure to loss 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 quarterly determination date other than final determination date
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| Initial index levels: | 2,161.74 for S&P, 1,205.309 for Russell
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| Downside threshold: | 1,729.392 for S&P, 964.2472 for Russell, 80% of initial levels
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| Pricing date: | July 15
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| Settlement date: | July 20
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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: | 2.5%
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| Cusip: | 46646W417
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