By Susanna Moon
Chicago, Aug. 23 – JPMorgan Chase Financial Co. LLC priced $3.06 million of trigger autocallable contingent yield notes due Feb. 26, 2019 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes pay a contingent quarterly coupon at an annual rate of 9% if each index closes at or above its coupon barrier level, 65% of its initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date after one year.
The payout at maturity will be par unless any index finishes below its 65% downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying indexes: | Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index
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| Amount: | $3.06 million
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| Maturity: | Feb. 26, 2019
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| Coupon: | 9%, payable quarterly if each index closes at or above 65% coupon barrier level on observation date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par unless any index finishes below downside threshold, in which case full exposure to any losses of worst performing index
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| Call: | At par if each index closes at or above initial levels on any observation date beginning Aug. 21, 2017
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| Initial levels: | 1,236.769 for Russell, 2,183.87 for S&P and 2,968.20 for Euro Stoxx
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| Downside thresholds: | 803.90 for Russell, 1,419.52 for S&P and 1,929.33 for Euro Stoxx; 65% of initial levels
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| Pricing date: | Aug. 19
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| Settlement date: | Aug. 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 46646X639
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