JPMorgan plans to price buffered notes linked to Turkish lira

By Angela McDaniels

Tacoma, Wash., March 28 – JPMorgan Chase Financial Co. LLC plans to price 0% buffered notes due April 17, 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 will be 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 buffer threshold, the payout at maturity will be par plus the greater of the contingent minimum return and the reference currency return. The buffer threshold will be 150% of the starting spot rate. The contingent minimum return is expected to be at least 21.25% and will be set at pricing.

If the reference currency return is negative and the ending spot rate is greater than the buffer threshold, investors will lose 2% for every 1% of decline in the reference currency return beyond 50%.

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.

The notes will price March 29.

The Cusip number is 48130UQU2.

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