By Sarah Lizee
Olympia, Wash., Aug. 22 – JPMorgan Chase Financial Co. LLC priced $500,000 of 0% digital notes due Sept. 24, 2020 linked to the Russell 2000 index, the S&P 500 index and the iShares MSCI EAFE ETF, according to a 424B2 filed with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
A trigger event occurs if any asset closes below its trigger value, 60% of its initial value, on any day during the life of the notes.
If a trigger event has not occurred, the payout at maturity will be par plus the contingent digital return of 6.2%.
If a trigger event has occurred but each index finishes at or above its initial value, the payout will be par.
Otherwise, investors will be fully exposed to any decline of the worst performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Digital notes
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| Underlying indexes: | Russell 2000 index, S&P 500 index and iShares MSCI EAFE ETF
|
| Amount: | $500,000
|
| Maturity: | Sept. 24, 2020
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each index closes at or above trigger value every day during life of notes, par plus 6.2%; if any index closes below its trigger value on any day during life of notes but each index finishes at or above initial value, par; otherwise, 1% loss for each 1% decline of worst performing index
|
| Initial value: | 1,461.648 for Russell, 2,847.60 for S&P and $61.51 for ETF
|
| Trigger value: | 876.9888 for Russell, 1,708.56 for S&P and $36.906 for ETF; 60% of initial value
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| Pricing date: | Aug. 20
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| Settlement date: | Aug. 23
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.6%
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| Cusip: | 48132FCN4
|
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