New Issue: JPMorgan prices $896,000 capped buffered notes on two indexes, ETF

By Marisa Wong

Morgantown, W.Va., March 6 – JPMorgan Chase Financial Co. LLC priced $896,000 of 0% capped buffered enhanced participation notes due Feb. 28, 2019 linked to a basket of two indexes and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The basket consists of the S&P 500 index with a 70% weight, the Russell 2000 index with a 15% weight and the iShares MSCI EAFE exchange-traded fund with a 15% weight.

If the basket return is positive, the payout at maturity will be par plus 2 times the basket gain, subject to a maximum payout of $1,155 per $1,000 note. Investors will receive par if the basket falls by up to 12% and will lose 1% for each 1% decline in the basket beyond 12%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped buffered enhanced participation notes
Underlying basket:	S&P 500 index with a 70% weight, Russell 2000 index with a 15% weight and iShares MSCI EAFE exchange-traded fund with a 15% weight
Amount:	$896,000
Maturity:	Feb. 28, 2019
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	Par plus 2 times any basket gain, return capped at 15.5%; par if basket falls by up to 12%; 1% loss for every 1% drop beyond 12%
Initial levels:	2,367.34 for S&P 500, 1,394.525 for Russell 2000 and $60.39 for ETF
Pricing date:	Feb. 24
Settlement date:	March 1
Agent:	J.P. Morgan Securities LLC
Fees:	0.5%
Cusip:	46646QKY0

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