New Issue: JPMorgan sells $1.71 million capped buffered notes on index, ETF basket

By Marisa Wong

Morgantown, W.Va., Sept. 25 – JPMorgan Chase Financial Co. LLC priced $1.71 million of 0% capped buffered return enhanced notes due Sept. 3, 2020 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 iShares MSCI EAFE ETF with a 15% weight and the Russell 2000 index with a 15% weight.

If the basket return is positive, the payout at maturity will be par plus 1.5 times the basket return, capped at par plus 16.5%. Investors will receive par if the basket declines by 15% or less and will lose 1% for every 1% that it declines beyond 15%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped buffered return enhanced notes
Underlying basket:	S&P 500 index (70% weight), iShares MSCI EAFE ETF (15% weight) and Russell 2000 index (15% weight)
Amount:	$1,705,000
Maturity:	Sept. 3, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 1.5 times basket return, capped at par plus 16.5%; par if basket declines by 15% or less; 1% loss for every 1% that basket declines beyond 15%
Initial levels:	2,901.52 for S&P, $67.34 for ETF and 1,740.753 for Russell
Pricing date:	Aug. 31
Settlement date:	Sept. 6
Agent:	J.P. Morgan Securities LLC
Fees:	0.5%
Cusip:	48130UCA1

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