By Susanna Moon
Chicago, Aug. 17 – JPMorgan Chase Financial Co. LLC priced $3.74 million of trigger autocallable contingent yield notes due Aug. 19, 2020 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 will pay a contingent quarterly coupon at an annual rate of 10.3% if each index closes at or above its coupon barrier, 75% 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 beginning Nov. 13, 2017.
The payout at maturity will be par plus the contingent coupon unless either index finishes below its 75% downside threshold, in which case investors will be fully exposed to any losses of the worse performing index.
The notes are guaranteed by JPMorgan Chase & Co.
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, S&P 500, Euro Stoxx 50
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| Amount: | $3.74 million
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| Maturity: | Aug. 19, 2020
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| Coupon: | 10.3%, payable quarterly if each index closes at or above 75% coupon barrier on observation date
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| Price: | Par of $10
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly observation date after six months
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| Payout at maturity: | Par unless any index finishes below downside threshold, in which case 1% loss for each 1% decline of worst performing index
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| Initial levels: | 1,394.309 for Russell, 2,465.84 for S&P and 3,450.66 for Stoxx
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| Downside thresholds: | 976.016 for Russell, 1,726.09 for S&P and 2,415.46 for Stoxx; 70% of initial levels
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| Pricing date: | Aug. 14
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| Settlement date: | Aug. 17
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 48129J822
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