By Susanna Moon
Chicago, March 23 – JPMorgan Chase Financial Co. LLC priced $16.8 million of contingent coupon autocallable yield notes due March 21, 2019 linked to the worst performing of the iShares U.S. Real Estate exchange-traded fund, the VanEck Vectors Semiconductor ETF and the SPDR S&P Bank ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent quarterly coupon at an annual rate of 14.45% if each fund closes at or above its barrier level, 75% of its initial level, on the observation date for that quarter.
The payout at maturity will be par plus the final coupon unless any fund finishes below its 75% barrier level, in which case investors will lose 1% for each 1% decline of the worst performing fund.
The notes will be called at par if each fund closes at or above its initial level on any quarterly observation date other than the final one.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying funds: | iShares U.S. Real Estate ETF, the VanEck Vectors Semiconductor ETF and the SPDR S&P Bank ETF
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| Amount: | $16,833,000
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| Maturity: | March 21, 2019
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| Coupon: | 14.45% per year, payable quarterly if each fund closes at or above barrier level on observation date for that quarter
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| Price: | Par
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| Call: | At par if each fund closes at or above its initial level on any quarterly observation date other than final date
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| Payout at maturity: | Par plus the final coupon unless any fund finishes below its 75% barrier level, in which case 1% loss for each 1% decline of the worst performing fund
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| Initial index levels: | $78.20 for real estate fund, $79.01 for semiconductor fund, $44.59 for bank fund
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| Barrier levels: | $58.65 for real estate fund, $59.2575 for semiconductor fund, $33.4425 for bank fund; 75% of initial levels
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| Pricing date: | March 17
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| Settlement date: | March 22
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 46646QMW2
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