JPMorgan plans digital buffered equity notes linked to index basket

By Sarah Lizee

Olympia, Wash., March 7 – JPMorgan Chase Financial Co. LLC plans to price 0% digital buffered equity notes due March 16, 2021 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The basket consists of the Euro Stoxx 50 index with a 36% initial weight, the Topix index with a 27% initial weight, the FTSE 100 index with a 20% initial weight, the Swiss Market index with a 9% initial weight and the S&P/ASX 200 index with an 8% initial weight.

If the basket return is zero or positive, the payout at maturity will be the greater of the threshold settlement amount, between $1,212.50 and $1,249.30 for each $1,000 principal amount, and par plus the return.

If the basket falls by up to 10%, the payout will be par. Investors will lose 1.1111% for every 1% decline beyond 10%.

J.P. Morgan Securities LLC is the agent.

The notes will settle on March 12.

The Cusip number is 48130WD32.

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