By Susanna Moon
Chicago, Feb. 10 – JPMorgan Chase Financial Co. LLC priced $2.61 million of 0% digital notes due April 6, 2018 linked to the S&P 500 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The payout at maturity will be par plus a contingent digital return of 7% if each index closes at or above the 65% trigger level on each day during the life of the notes.
If either index ever closes below its 65% trigger level but both indexes finish at or above their initial levels, investors will receive par. Otherwise, investors will lose 1% for each 1% decline of the worse performing index.
If each index never closes below its 60% trigger level during the life of the notes, the payout at maturity will be the digital return of 5.25%.
Otherwise, investors will be fully exposed to any losses of the worse performing index.
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: | Digital notes
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| Underlying assets: | S&P 500 index and iShares MSCI EAFE ETF
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| Amount: | $2.61 million
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| Maturity: | April 6, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index never dips below 60% trigger, par plus 5.25%; otherwise 1% loss per 1% decline of worse performing index
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| Initial levels: | 2,297.42 for S&P, $60.14 for iShares MSCI EAFE
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| Trigger levels: | 1,378.452 for S&P, $36.084 for iShares MSCI EAFE; 60% of initial levels
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| Pricing date: | Feb. 3
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| Settlement date: | Feb. 8
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 46646QZB4
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