By Angela McDaniels
Tacoma, Wash., March 7 – JPMorgan Chase Financial Co. LLC priced $675,000 of 0% digital notes due March 23, 2020 linked to the performance of the Turkish lira relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If the currency return is positive or zero (i.e., the lira appreciates or remains flat relative to the dollar) or is negative (i.e., the lira depreciates relative to the dollar) but the final spot rate is less than or equal to the trigger value, the payout at maturity will be par plus 11.55%. The trigger value is 8.07728, or 150% of the initial spot rate.
If the currency return is negative and the final spot rate is greater than the trigger value, investors will lose 1% for every 1% of decline in the currency return.
The agent is J.P. Morgan Securities LLC.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Digital notes
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| Underlying currency: | Turkish lira, measured relative to dollar
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| Amount: | $675,000
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| Maturity: | March 23, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If currency return is positive or zero or is negative but final spot rate is less than or equal to trigger value, par plus 11.55%; if currency return is negative and final spot rate is greater than trigger value, 1% loss for every 1% of decline in currency return
|
| Initial spot rate: | 5.38485
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| Final spot rate: | Average of spot rates on five trading days ending March 18, 2020
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| Trigger value: | 8.07728, or 150% of initial spot rate
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| Pricing date: | March 5
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| Settlement date: | March 8
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
|
| Cusip: | 48130UQM0
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