By William Gullotti
Buffalo, N.Y., Jan. 31 – JPMorgan Chase Financial Co. LLC priced $11.2 million of 0% capped buffered return enhanced notes due Feb. 13, 2024 linked to an equally weighted ETF basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Industrial Select Sector SPDR Fund, the Health Care Select Sector SPDR Fund, the Real Estate Select Sector SPDR Fund and the VanEck Semiconductor ETF.
If the basket finishes above its initial level, the payout at maturity will be par plus 150% of the basket return, subject to a maximum upside return of par plus 14.625%.
If the final level of the basket falls by up to 15%, the payout will be par.
If the final level of the basket is less than its initial level by more than 15%, investors will lose 1.17647% for every 1% that the basket declines beyond 15%.
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
|
| Underlying funds: | Industrial Select Sector SPDR Fund, Health Care Select Sector SPDR Fund, Real Estate Select Sector SPDR Fund, VanEck Semiconductor ETF; equal weights
|
| Amount: | $11,204,000
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| Maturity: | Feb. 13, 2024
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the basket finishes above initial level, par plus 150% of basket return, subject to maximum upside return of par plus 14.625%; if the basket falls by up to 15%, par; otherwise, 1.17647% loss for every 1% that the basket declines beyond 15%
|
| Initial levels: | $100.72 for Industrial, $133.77 for Health Care, $39.99 for Real Estate, $240.86 for VanEck
|
| Buffer levels: | 85% of initial levels
|
| Pricing date: | Jan. 26
|
| Settlement date: | Jan. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48133TRH0
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