By Marisa Wong
Morgantown, W.Va., March 29 – JPMorgan Chase Financial Co. LLC priced $1.11 million 0% buffered digital notes due April 26, 2018 linked to the performance of an equally weighted basket of four currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The basket consists of the Brazilian real, the Indian rupee, the Russian ruble and the South African rand.
If the basket return is positive or zero – meaning that the basket currencies, as a whole, strengthen or remain unchanged relative to the dollar – the payout at maturity will be par plus 7.5%.
If the basket return is negative but greater than or equal to negative 25%, the payout will be par.
If the basket return is less than negative 25%, investors will lose 1% for each 1.3333% decline beyond the 25% buffer.
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 digital notes
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| Underlying basket: | Brazilian real, Indian rupee, Russian ruble and South African rand, equally weighted, relative to the dollar
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| Amount: | $1,105,000
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| Maturity: | April 26, 2018
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| Coupon: | 0%
|
| Price: | Par of $1,000
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| Payout at maturity: | If the basket return is positive or zero, par plus 7.5%; if the basket return is negative but greater than or equal to negative 25%, par; if the basket return is less than negative 25%, 1.3333% loss for each 1% decline beyond the 25% buffer
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| Initial spot rates: | 3.0939 for real, 65.4881 for rupee, 57.9710 for ruble, 12.5600 for rand
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| Pricing date: | March 22
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| Settlement date: | March 27
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.6%
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| Cusip: | 46646QX83
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