By Devika Patel
Knoxville, Tenn., Sept. 11 – JPMorgan Chase Financial Co. LLC priced $2.1 million of contingent income autocallable securities due March 4, 2020 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx Banks index, 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 index closes at or above the 70% coupon barrier level on each trading day during that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any of the quarterly determination dates from Nov. 30, 2017 to Feb. 28, 2020.
The payout at maturity will be par plus the final coupon, if any, unless any index finishes below the 65% downside threshold level, in which case investors will lose 1% for each 1% decline of the worst performing index from its initial level.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities with contingent downside
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| Underlying indexes: | Russell 2000, S&P 500 and Euro Stoxx Banks
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| Amount: | $2.1 million
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| Maturity: | March 4, 2020
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| Coupon: | 10% annualized for each quarter that each index closes at or above coupon barrier level on each trading day during that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon, if any, if each index finishes at or above downside threshold level; otherwise, 1% loss for each 1% decline of worst performing index from initial level
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| Call: | At par plus contingent payment if each index closes at or above initial level on any of the quarterly determination dates from Nov. 30, 2017 to Feb. 28, 2020
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| Initial levels: | 1,391.324 for Russell; 2,457.59 for S&P and 130.19 for Euro Stoxx
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| Coupon barriers: | 973.9268 for Russell; 1,720.313 for S&P and 91.133 for Euro Stoxx, 70% of initial levels
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| Downside thresholds: | 904.3606 for Russell; 1,597.4335 for S&P and 84.6235 for Euro Stoxx, 65% of initial levels
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| Pricing date: | Aug. 30
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| Settlement date: | Sept. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.5%
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| Cusip: | 46647MV75
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