New Issue: JPMorgan sells $3.63 million capped buffered return enhanced notes tied to basket

By Marisa Wong

Morgantown, W.Va., Oct. 11 – JPMorgan Chase Financial Co. LLC priced $3.63 million of 0% capped buffered return enhanced notes due April 5, 2021 linked to a basket of three indexes and one exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The basket components are the MSCI EAFE index with a 50% weight, the S&P MidCap 400 index with a 27% weight, the iShares MSCI Emerging Markets exchange-traded fund with a 13% weight and the Russell 2000 index with a 10% weight.

The payout at maturity will be par plus 148% of any basket gain, up to a maximum return of 66.6%.

Investors will receive par if the basket falls by up to 25% and will lose 1.33333% for each 1% decline beyond 25%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped buffered return enhanced notes
Underliers:	MSCI EAFE index (50% weight), S&P MidCap 400 index (27% weight), iShares MSCI Emerging Markets ETF (13% weight) and Russell 2000 index (10% weight)
Amount:	$3,626,000
Maturity:	April 5, 2021
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	Par plus 148% of any basket gain, up to a maximum return of 66.6%; par if the basket falls by up to 25%; 1.33333% loss for each 1% decline beyond 25%
Initial levels:	1,701.69 for MSCI EAFE, 1,552.26 for S&P MidCap, $37.45 for EM ETF and 1,251.646 for Russell
Pricing date:	Sept. 30
Settlement date:	Oct. 5
Agent:	J.P. Morgan Securities LLC
Fees:	None
Cusip:	46646EYY2

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