New Issue: JPMorgan prices $2 million capped buffered equity notes tied to 33 stock basket

By William Gullotti

Buffalo, N.Y., Aug. 30 – JPMorgan Chase Financial Co. LLC priced $2 million of 0% capped buffered equity notes due July 7, 2022 linked to a weighted basket consisting of 33 stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of Ford Motor Co. with a 4.295208% weight, Norwegian Cruise Line Holdings Ltd. with a 4.294653% weight, Nucor Corp. with a 4.252652% weight, Expedia Group, Inc. with a 3.968075% weight, Deere & Co. with a 3.805175% weight, Goldman Sachs Group, Inc. with a 3.613527% weight, Morgan Stanley with a 3.550319% weight, Delta Air Lines, Inc. with a 3.465555% weight, American Express Co. with a 3.43698% weight, Royal Caribbean Cruises Ltd. with a 3.421033% weight, Wynn Resorts, Ltd. with a 3.358867% weight, United Airlines Holdings, Inc. with a 3.335056% weight, Caterpillar Inc. with a 3.137364% weight, Eaton Corp., plc with a 3.121608% weight, Dow Inc. with a 3.04372% weight, ConocoPhillips with a 2.998761% weight, Walt Disney Co. with a 2.942478% weight, Exxon Mobil Corp. with a 2.923754% weight, DuPont de Nemours, Inc. with a 2.913439% weight, Starbucks Corp. with a 2.899028% weight, Boeing Co. with a 2.780733% weight, CBRE Group, Inc. with a 2.759062% weight, Citigroup Inc. with a 2.712888% weight, Booking Holdings Inc. with a 2.660508% weight, Iron Mountain Inc. with a 2.549163% weight, Las Vegas Sands Corp. with a 2.433256% weight, Chevron Corp. with a 2.407893% weight, Mastercard Inc. with a 2.355031% weight, Visa Inc. with a 2.339384% weight, International Flavors & Fragrances Inc. with a 2.301515% weight, Coca-Cola Co. with a 2.245185% weight, Restaurant Brands International Inc. with a 1.91829% weight and Newell Brands Inc. with a 1.75984% weight.

If the underlying basket finishes above its initial, the payout at maturity will be par plus the gain up to a maximum return of 17%.

If the basket falls by up to 20%, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline from initial level.

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 equity notes
Underlying basket:	Ford Motor Co. (4.295208% weight), Norwegian Cruise Line Holdings Ltd. (4.294653% weight), Nucor Corp. (4.252652% weight), Expedia Group, Inc. (3.968075% weight), Deere & Co. (3.805175% weight), Goldman Sachs Group, Inc. (3.613527% weight), Morgan Stanley (3.550319% weight), Delta Air Lines, Inc. (3.465555% weight), American Express Co. (3.43698% weight), Royal Caribbean Cruises Ltd. (3.421033% weight), Wynn Resorts, Ltd. (3.358867% weight), United Airlines Holdings, Inc. (3.335056% weight), Caterpillar Inc. (3.137364% weight), Eaton Corp., plc (3.121608% weight), Dow Inc. (3.04372% weight), ConocoPhillips (2.998761% weight), Walt Disney Co. (2.942478% weight), Exxon Mobil Corp. (2.923754% weight), DuPont de Nemours, Inc. (2.913439% weight), Starbucks Corp. (2.899028% weight), Boeing Co. (2.780733% weight), CBRE Group, Inc. (2.759062% weight), Citigroup Inc. (2.712888% weight), Booking Holdings Inc. (2.660508% weight), Iron Mountain Inc. (2.549163% weight), Las Vegas Sands Corp. (2.433256% weight), Chevron Corp. (2.407893% weight), Mastercard Inc. (2.355031% weight), Visa Inc. (2.339384% weight), International Flavors & Fragrances Inc. (2.301515% weight), Coca-Cola Co. (2.245185% weight), Restaurant Brands International Inc. (1.91829% weight) and Newell Brands Inc. (1.75984% weight)
Amount:	$2,000,000
Maturity:	July 7, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any basket gain capped at 17%; if basket falls by up to 20%, par; otherwise, 1% loss for each 1% decline from initial level
Initial levels:	$14.52 for Ford Motor Co., $30.30 for Norwegian Cruise Line Holdings Ltd., $93.02 for Nucor Corp., $162.93 for Expedia Group, Inc., $328.97 for Deere & Co., $348.83 for Goldman Sachs Group, Inc., $84.09 for Morgan Stanley, $44.96 for Delta Air Lines, Inc., $158.17 for American Express Co., $85.64 for Royal Caribbean Cruises Ltd., $124.44 for Wynn Resorts, Ltd., $54.92 for United Airlines Holdings, Inc., $208.86 for Caterpillar Inc., $139.26 for Eaton Corp., plc, $61.98 for Dow Inc., $57.53 for ConocoPhillips, $172.42 for Walt Disney Co., $60.40 for Exxon Mobil Corp., $76.43 for DuPont de Nemours, Inc., $109.70 for Starbucks Corp., $237.35 for Boeing Co., $86.36 for CBRE Group, Inc., $67.61 for Citigroup Inc., $2,242.61 for Booking Holdings Inc., $44.25 for Iron Mountain Inc., $53.00 for Las Vegas Sands Corp., $103.03 for Chevron Corp., $367.42 for Mastercard Inc., $230.41 for Visa Inc., $144.86 for International Flavors & Fragrances Inc., $53.77 for Coca-Cola Co., $66.19 for Restaurant Brands International Inc., $25.99 for Newell Brands Inc.
Strike date:	June 18
Pricing date:	June 21
Settlement date:	June 24
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48132UPU1

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