By Wendy Van Sickle
Columbus, Ohio, April 8 – JPMorgan Chase Financial Co. LLC priced $4 million of 0% contingent buffered notes due April 16, 2020 linked to the performance of the Turkish lira relative to the dollar, according to a 424B2 filed with the Securities and Exchange Commission.
If the reference currency return is positive or zero (i.e. the Turkish lira appreciates or remains flat relative to the dollar) or is negative (i.e., the Turkish lira depreciates relative to the dollar) but the ending spot rate is less than or equal to the buffer threshold, 150% of the starting spot rate, the payout at maturity will be par plus the reference currency return, subject to the contingent minimum return of 39.6%.
Because of the effective cap on the reference currency return of 100%, the maximum payment at maturity is $2,000 per $1,000 note.
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% decline in the reference currency return.
The notes are guaranteed by JPMorgan Chase & Co.
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: | Contingent buffered notes
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| Underlying currency: | Turkish lira relative to the dollar
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| Amount: | $4 million
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| Maturity: | April 16, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the reference currency return is positive, zero or negative but the ending spot rate is less than or equal to the trigger value, par plus the reference currency return, subject to the contingent minimum return of 39.6%, capped at $2,000 per $1,000 note; if the reference currency return is negative and the ending spot rate is greater than the buffer threshold, 1% loss for every 1% decline in the reference currency return
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| Strike rate: | 5.54
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| Trigger value: | 7.756, 140% of strike rate
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| Ending spot rate: | Average of spot rates on five trading days ending April 13, 2020
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| Pricing date: | March 29
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| Settlement date: | April 3
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48130UQV0
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