By Sarah Lizee
Olympia, Wash., May 2 – JPMorgan Chase Financial Co. LLC priced $2.85 million of 0% digital notes due May 29, 2020 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A trigger event will occur if on any day during the life of the notes either index closes below 70% of its initial level.
If a trigger event has not occurred, the payout will be par plus 7%.
If a trigger event has occurred and the final value of each index is greater than or equal to its initial value, the payout will be par.
If a trigger event has occurred and the final value of either index is less than its initial value, the payout will be par plus the return of the lesser performing index with full exposure to the loss.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Digital notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2,848,000
|
| Maturity: | May 29, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If indexes never close below trigger level any day during life of notes, par plus 7%; if indexes close below trigger level any day during life of notes and finish above initial levels, par; if indexes close below trigger level any day during life of notes and finish below initial levels, full exposure to decline of lesser performing index
|
| Initial levels: | 1,591.211 for Russell and 2,945.83 for S&P
|
| Trigger levels: | 1,113.8477 for Russell and 2,062.081 for S&P; 70% of initial levels
|
| Pricing date: | April 30
|
| Settlement date: | May 3
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.30087%
|
| Cusip: | 48130WZ38
|
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