By Angela McDaniels
Tacoma, Wash., Aug. 2 – JPMorgan Chase Financial Co. LLC priced $1 million of 0% buffered return enhanced notes due Aug. 3, 2020 linked to the leveraged upside return and buffered downside return of a basket of eight commodity indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The basket consists of the S&P GSCI Gold Index Excess Return with a 15% weight, the S&P GSCI Silver Index Excess Return with a 15% weight, the S&P GSCI Soybeans Index Excess Return with a 12% weight, the S&P GSCI Wheat Index Excess Return with a 12% weight, the S&P GSCI Sugar Index Excess Return with a 12% weight, the S&P GSCI Corn Index Excess Return with a 12% weight, the S&P GSCI Copper Index Excess Return with a 11% weight and the S&P GSCI Aluminum Index Excess Return with a 11% weight.
For each $1,000 principal amount of notes, the payout at maturity will be $1,000 multiplied by the sum of one plus the leveraged upside return plus the buffered downside return.
The leveraged upside return will be equal to 1.25 times the average basket return, provided that it will not be less than zero. The average basket return is the percentage change in the basket from the initial basket level to the average basket level, which will be the average of the basket’s closing levels on the 17 quarterly averaging dates.
The buffered downside return will be equal to 1.25 times the sum of the basket return – the percentage change in the basket from the initial basket level to the final basket level – and 20%, provided that it will not be greater than zero.
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 indexes: | S&P GSCI Gold Index Excess Return (15% weight), S&P GSCI Silver Index Excess Return (15% weight), S&P GSCI Soybeans Index Excess Return (12% weight), S&P GSCI Wheat Index Excess Return (12% weight), S&P GSCI Sugar Index Excess Return (12% weight), S&P GSCI Corn Index Excess Return (12% weight), S&P GSCI Copper Index Excess Return (11% weight) and S&P GSCI Aluminum Index Excess Return (11% weight)
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| Amount: | $1 million
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| Maturity: | Aug. 3, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | $1,000 multiplied by sum of one plus leveraged upside return plus buffered downside return
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| Leveraged upside return: | 1.25 times average basket return, provided that it will not be less than zero; average basket return is percentage change in basket from initial basket level to average basket level (average of basket’s closing levels on 17 quarterly averaging dates)
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| Buffered downside return: 1.25 times sum of 20% and basket return (percentage change in basket from initial basket level to final basket level), provided that it will not be greater than zero
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| Pricing date: | July 29
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| Settlement date: | Aug. 3
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 46646EQL9
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