New Issue: JPMorgan prices $10.19 million capped buffered return enhanced notes linked to index basket

By Wendy Van Sickle

Columbus, Ohio, Aug. 1 – JPMorgan Chase Financial Co. LLC priced $10.19 million of 0% capped buffered return enhanced notes due Oct. 31, 2024 linked to an unequally weight basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with a 50% weight, the MSCI EAFE index with a 30% weight and the MSCI Emerging Markets index with a 20% weight.

If the basket gains, the payout at maturity will be par plus 150% of the return of the basket capped at par plus 36.75%. The payout will be par if the basket declines but by no more than the 13% buffer. Investors will lose 1% for every 1% that the basket declines 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.
Issue:	Capped buffered return enhanced notes
Underlying basket:	S&P 500 index (50% weight), MSCI EAFE index (30% weight) and MSCI Emerging Markets index (20% weight)
Amount:	$10,193,000
Maturity:	Oct. 31, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If basket gains, par plus 150% of basket return capped at par plus 36.75%; par if basket declines but by no more than 13% buffer; 1% loss for every 1% that basket declines beyond the buffer
Initial level:	4,023.61 for S&P, 1,886.87 for EAFE, 989.89 for EM
Pricing date:	July 27
Settlement date:	Aug. 1
Agent:	J.P. Morgan Securities LLC
Fees:	0.10555%
Cusip:	48133L4M1

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