By Angela McDaniels
Tacoma, Wash., Oct. 2 – JPMorgan Chase Financial Co. LLC priced $538,000 of 0% step-up autocallable buffered equity notes due Sept. 30, 2024 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.
The notes will be automatically called at par plus a call premium of 7.5% per year if each index closes at or above its call value on any annual review date. The call value is 103% of the initial index level on Sept. 27, 2018 and steps up by 300 basis points on each subsequent review date, reaching 118% of the initial index level on Sept. 26, 2023.
If the notes have not been automatically called and the final level of each index is greater than its initial level, the payout at maturity will be par plus the return of the lesser-performing index.
If the final level of one index is greater than its initial level and the final level of the other index is equal to its initial level or is less than its initial level by up to 20% or if the final level of each index is equal to its initial level or is less than its initial level by up to 20%, the payout will be par.
If the final level of either index is less than its initial level by more than 20%, investors will lose 1% for every 1% that the lesser-performing index declines beyond 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Step-up autocallable buffered equity notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $538,000
|
| Maturity: | Sept. 30, 2024
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level of each index is greater than initial level, par plus return of lesser-performing index; if final level of one index is greater than initial level and final level of other index is equal to initial level or is less than initial level by up to 20% or if final level of each index is equal to initial level or is less than initial level by up to 20%, par; if final level of either index is less than initial level by more than 20%, 1% loss for every 1% that lesser-performing index declines beyond 20%
|
| Call: | Automatically at par plus call premium of 7.5% per year if each index closes at or above call value on any annual review date
|
| Initial index levels: | 2,496.84 for S&P 500 and 1,456.863 for Russell 2000
|
| Call value: | 103% of initial index level on Sept. 27, 2018; 106% of initial index level on Sept. 25, 2019; 109% of initial index level on Sept. 25, 2020; 112% of initial index level on Sept. 27, 2021; 115% of initial index level on Sept. 27, 2022; 118% of the initial index level on Sept. 26, 2023
|
| Pricing date: | Sept. 26
|
| Settlement date: | Sept. 29
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.5%
|
| Cusip: | 46647M5H2
|
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