Chicago, Feb. 5 – JPMorgan Chase Financial Co. LLC priced $1.61 million of 0% capped buffered return enhanced notes due Feb. 4, 2021 linked to an unequally weighted basket of the S&P 500 index, the iShares MSCI EAFE ETF and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The S&P 500 will have a 70% weight and the iShares MSCI EAFE ETF and Russell 2000 will each have a weight of 15%.
The notes are guaranteed by JPMorgan Chase & Co.
If the final basket value is greater than the initial value, the payout at maturity will be par plus the basket return times a 1.5 upside leverage factor subject to a maximum return of $1,195.50 per $1,000 principal amount of notes.
If the basket is flat or falls by no more than 15% the payout at maturity will be par.
If the final basket value falls by more than 15% investors will lose 1% per 1% decline beyond the 15% buffer.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Capped buffered return enhanced notes
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| Underlying basket: | S&P 500 index (70% weight), the iShares MSCI EAFE ETF (15% weight) and the Russell 2000 index (15% weight)
|
| Amount: | $1,613,000
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| Maturity: | Feb. 4, 2021
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| Coupon: | 0%
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| Price: | Par
|
| Payout at maturity: | If final basket is greater than initial value, payout will be par plus 1.5 times basket return subject to maximum return of $1,195.50 per $1,000 of notes; par if basket is flat or falls by less than 15%; 1% per 1% decline beyond 15% buffer
|
| Initial levels: | 2,704.10 for S&P 500, $62.68 for iShares MSCI EAFE ETF and 1,499.419 for Russell 2000
|
| Pricing date: | Jan. 31
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| Settlement date: | Feb. 4
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5%
|
| Cusip: | 48130WSG7
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