New Issue: Jefferies prices $1.72 million autocallable contingent coupon barrier notes on indexes

By William Gullotti

Buffalo, N.Y., April 30 – Jefferies Group LLC and Jefferies Group Capital Finance Inc. priced $1.72 million of 0% senior autocallable contingent coupon barrier notes due April 3, 2029 tied to the performance of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B5 filing with the Securities and Exchange Commission.

The notes carry a contingent coupon of 10%, paid quarterly, if each underlying index closes at or above its 75% coupon barrier on the relevant observation date.

After one year, the notes will be called automatically at par plus the coupon if each index closes at or above its initial level on any quarterly observation date.

If the notes are not called and each index finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.

If the worst performer finishes below its coupon barrier but at or above the 60% threshold level, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.

Jefferies LLC is the agent.

Issuers:	Jefferies Group LLC and Jefferies Group Capital Finance Inc.
Issue:	Senior autocallable contingent coupon barrier notes
Underlying indexes:	Nasdaq-100 index, Russell 2000 index, S&P 500 index
Amount:	$1.72 million
Maturity:	April 3, 2029
Coupon:	10%, payable quarterly if worst performing index closes at or above coupon barrier on the relevant observation date
Price:	Par
Payout at maturity:	If each index finishes at or above coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above threshold level, par; otherwise, full exposure to decline of worst performer from its initial level
Call:	Automatically at par plus coupon if each index closes at or above its initial level on any quarterly valuation date after one year
Initial levels:	18,254.69 for Nasdaq, 2,124.547 for Russell, 5,254.35 for S&P
Coupon barriers:	13,691.02 for Nasdaq, 1,593.41 for Russell, 3,940.76 for S&P; 75% of initial levels
Threshold levels:	10,952.81 for Nasdaq, 1,274.728 for Russell, 3,152.61 for S&P; 60% of initial levels
Pricing date:	March 28
Settlement date:	April 3
Agent:	Jefferies LLC
Fees:	0.75%
Cusip:	47233WDU0

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