By Marisa Wong
Morgantown, W.Va., April 11 – JPMorgan Chase Financial Co. LLC priced $4.96 million of autocallable contingent interest notes due July 5, 2018 linked to the lesser performing of the Russell 2000 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, 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 10% if each component closes at or above its coupon barrier, 60% of its initial level, on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each component closes at or above its initial level on any quarterly review date other than the final one.
The payout at maturity will be par unless any component finishes below its initial level and any component ever closes below its 60% trigger level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying assets: | Russell 2000 index, Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF
|
| Amount: | $4,956,000
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| Maturity: | July 5, 2018
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| Coupon: | 10% annualized, payable quarterly if each underlying component closes at or above trigger level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon unless any component finishes below initial level and any component ever dips below trigger level, in which case 1% loss for each 1% decline of worst performing component
|
| Call: | At par plus contingent coupon if each component closes at or above initial level on any quarterly review date other than the final date
|
| Initial levels: | 1,371.645 for Russell, 3,475.27 for Euro Stoxx and $39.88 for ETF
|
| Trigger levels: | 822.987 for Russell, 2,085.162 for Euro Stoxx and $23.928 for ETF; 60% of initial levels
|
| Pricing date: | March 29
|
| Settlement date: | April 3
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5%
|
| Cusip: | 46646QNY7
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