By Angela McDaniels
Tacoma, Wash., Jan. 15 – JPMorgan Chase Financial Co. LLC priced $2.56 million of 0% digital notes due Jan. 17, 2020 linked to the performance of the dollar relative to the offshore Chinese renminbi, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
If the reference currency return is positive (i.e., the dollar appreciates relative to the offshore Chinese renminbi) and the ending spot rate is greater than 115% of the starting spot rate, the payout at maturity will be par plus 16.55%.
If the reference currency return is positive and the ending spot rate is less than or equal to 115% of the starting spot rate, the payout will be par plus the reference currency return. The reference currency return is the quotient of (a) the ending spot rate minus the starting spot rate divided by (b) the ending spot rate. Because of the way the reference currency return is calculated, this effectively caps the return on the notes in this scenario to 13.04%.
If the reference currency return is zero or negative (i.e., the dollar remains flat or depreciates relative to the offshore Chinese renminbi), the payout will be par.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Digital notes
|
| Underlying currency: | Dollar measured relative to offshore Chinese renminbi
|
| Amount: | $2,559,000
|
| Maturity: | July 17, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If reference currency return is positive and ending spot rate is greater than 115% of starting spot rate, par plus 16.55%; if reference currency return is positive and ending spot rate is less than or equal to 115% of starting spot rate, par plus reference currency return; if reference currency return is zero or negative, par
|
| Starting spot rate: | 6.767
|
| Ending spot rate: | Average of spot rates on five trading days ending Jan. 14, 2020
|
| Pricing date: | Jan. 11
|
| Settlement date: | Jan. 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5%
|
| Cusip: | 48130UPW9
|
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