By Angela McDaniels
Tacoma, Wash., March 21 – JPMorgan Chase Financial Co. LLC priced $1.5 million of 0% contingent buffered notes due April 7, 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 reference currency return is positive or zero or is negative but the ending spot rate is less than or equal to the trigger value, the payout at maturity will be par plus the greater of 23.4% and the reference currency return. The trigger value is 130% of the starting spot rate.
If the reference currency return is negative and the ending spot rate is greater than the trigger value, investors will lose 1% for every 1% of decline in the reference currency return.
The reference currency return is the quotient of (a) the starting spot rate minus the ending spot rate divided by (b) the starting spot rate. The reference currency return will be positive if the lira appreciates relative to the dollar and negative if the lira depreciates relative to the dollar.
Because of the effective cap on the reference currency return of 100%, the maximum payment at maturity is $2,000 per $1,000 principal amount of notes.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Contingent buffered notes
|
| Underlying currency: | Turkish lira measured relative to dollar
|
| Amount: | $1.5 million
|
| Maturity: | April 7, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If reference currency return is positive or zero or is negative but ending spot rate is less than or equal to trigger value, par plus greater of 23.4% and reference currency return; if reference currency return is negative and ending spot rate is greater than trigger value, 1% loss for every 1% of decline in reference currency return
|
| Starting spot rate: | 5.47905
|
| Ending spot rate: | Average of spot rates on five trading days ending April 2, 2020
|
| Trigger value: | 7.12277, 130% of initial spot rate
|
| Pricing date: | March 19
|
| Settlement date: | March 22
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48130UQR9
|
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