New Issue: JPMorgan sells $2.8 million capped buffered return enhanced notes on basket

By Taylor Fox

New York, Nov. 20 – JPMorgan Chase Financial Co. LLC priced $2.8 million of 0% capped buffered return enhanced notes due Feb. 4, 2022 linked to an unequally-weighted basket consisting of the S&P 500 index with a 42% weight, the MSCI EAFE index with a 25% weight, the Russell 2000 index with an 18% weight and the iShares MSCI Emerging Markets ETF with a 15% weight, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 1.5 times any basket gain up to par plus 11.75%.

Investors will receive par if the basket falls by up to 10% and will lose 1% for each 1% decline beyond the buffer.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped buffered return enhanced notes
Basket components:	S&P 500 index with a 42% weight, MSCI EAFE index with a 25% weight, Russell 2000 index with an 18% weight and iShares MSCI Emerging Markets ETF with a 15% weight
Amount:	$2,795,000
Maturity:	Feb. 4, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.5 times any basket gain, capped at par plus 11.75%; if basket falls by up to 10%, par; otherwise, 1% loss for each 1% decline beyond buffer
Initial index levels:	3,310.24 for S&P, 1,805.90 for MSCI, 1,568.592 for Russell and $45.28 for iShares
Buffer level:	90% of initial basket level
Pricing date:	Nov. 2
Settlement date:	Nov. 5
Agent:	J.P. Morgan Securities LLC
Fees:	0.6%
Cusip:	48132PVT8

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