By Wendy Van Sickle
Columbus, Ohio, March 5 – JPMorgan Chase Financial Co. LLC priced $2.37 million of 0% capped buffered return enhanced notes due March 4, 2021 linked to a basket of an index and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
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 ETF with a 15% weight.
The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum payout of par plus 18.5%.
Investors will receive par if the basket falls by up to 15% and will lose 1% for each 1% decline beyond the buffer.
The notes are guaranteed by JPMorgan Chase & Co.
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
|
| Basket components: | S&P 500 index (70% weight), Russell 2000 index (15% weight) and iShares MSCI EAFE ETF (15% weight)
|
| Amount: | $2,371,000
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| Maturity: | March 4, 2021
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 1.5 times any basket gain up to maximum payout of par plus 18.5%; if basket falls by up to 15%, par; otherwise, 1% loss for each 1% decline beyond 15%
|
| Initial levels: | 1,575.549 for Russell, 2,784.49 for S&P 500, $64.27 for EAFE ETF
|
| Pricing date: | Feb. 28
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| Settlement date: | March 5
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5%
|
| Cusip: | 48130WZF1
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