By Jennifer Chiou
New York, March 17 – JPMorgan Chase & Co. priced $19,726,000 of 0% buffered return enhanced notes due March 17, 2020 linked to the leveraged upside return and buffered downside return of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will reflect the upside leverage factor times any appreciation of the index reflected in the average index return, which will be determined based on the arithmetic average of the closing levels of the index on the quarterly averaging dates over the final two years of the notes, and any depreciation of the index on March 12, 2020, compared to the initial level, times the downside leverage factor.
The upside leverage factor is 160% of any gain in the average index return.
The buffer amount is 15%. For the buffered downside return, investors will lose 1.1765% per 1% decline beyond 15% and will lose some or all of their principal amount at maturity if the leveraged upside return is not sufficient to offset the buffered downside return.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Buffered return enhanced notes with leveraged average index return and buffered downside
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| Underlying index: | S&P 500
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| Amount: | $19,726,000
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| Maturity: | March 17, 2020
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus 160% upside leverage factor times any appreciation in the average index return plus buffered downside return, which will be zero if index falls by up to 15% with exposure to losses beyond 15% at rate of 1.1765% per 1% decline
|
| Average index return: | Arithmetic average of the closing levels of index on quarterly averaging dates over final two years of the notes
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| Initial level: | 2,065.95
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| Pricing date: | March 12
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| Settlement date: | March 17
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 48125UFF4
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