By Susanna Moon
Chicago, Dec. 26 – JPMorgan Chase Financial Co. LLC priced $1.25 million of 0% buffered return enhanced notes due Dec. 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 basket consists of the Russell 2000 index with a 70% weight, the S&P 500 index with a 15% weight and the iShares MSCI EAFE ETF with a 15% weight.
If the underlying basket finishes above its initial, the payout at maturity will be par plus 1.5 times the gain up to a maximum return of 18.2%.
If the basket falls by up to 15%, the payout will be par.
Otherwise, investors 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
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Buffered return enhanced notes
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| Underlying basket: | Russell 2000 index (70% weight), S&P 500 index (15% weight) and iShares MSCI EAFE ETF (15% weight)
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| Amount: | $1,251,000
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| Maturity: | Dec. 3, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 1.5 times any basket gain capped at 18.2%; if basket falls by up to 15%, par; otherwise, 1% loss for each 1% decline beyond 15%
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| Initial levels: | 1,533.266 for Russel, 2,760.17 for S&P and $62.77 for fund
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| Pricing date: | Nov. 30
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| Settlement date: | Dec. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.5%
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| Cusip: | 48130WAR2
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