New Issue: JPMorgan sells $1.27 million capped buffered notes on index, ETF basket

By Marisa Wong

Morgantown, W.Va., July 26 – JPMorgan Chase Financial Co. LLC priced $1.27 million of capped buffered return enhanced notes due July 23, 2020 linked to a basket of the S&P 500 index with a 70% weight, the Russell 2000 index with a 15% weight and the iShares MSCI EAFE exchange-traded fund with a 15% weight, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

If the basket finishes above its initial value, the payout at maturity will be par plus 1.5 times the basket return, capped at par plus 16.7%.

If the basket declines by up to 15%, the payout will be par. Investors will be exposed to any losses beyond 15%.

The agent is J.P. Morgan Securities LLC.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped buffered return enhanced notes
Underlying basket:	S&P 500 index with a 70% weight, Russell 2000 index with a 15% weight and iShares MSCI EAFE ETF with a 15% weight
Amount:	$1,267,000
Maturity:	July 23, 2020
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	Par plus 1.5 times any basket gain, capped at par plus 16.7%; par if basket declines by up to 15%; exposure to losses beyond 15%
Initial values:	2,801.83 for S&P, 1,696.808 for Russell and $68.07 for EAFE ETF
Pricing date:	July 20
Settlement date:	July 25
Agent:	J.P. Morgan Securities LLC
Fees:	0.5%
Cusip:	48129M4Q6

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