By Marisa Wong
Morgantown, W.Va., Feb. 10 – JPMorgan Chase Financial Co. LLC priced $1 million 0% buffered digital notes due March 7, 2018 linked to the performance of an equally weighted basket of four currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The basket consists of the Brazilian real, the Indian rupee, the Russian ruble and the South African rand.
If the basket return is positive or zero – meaning that the basket currencies, as a whole, strengthen or remain unchanged relative to the dollar – the payout at maturity will be par plus 14%.
If the basket return is negative but greater than or equal to negative 15%, the payout will be par.
If the basket return is less than negative 15%, investors will lose 1% for each 1% decline beyond the 15% buffer.
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: | Buffered digital notes
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| Underlying basket: | Brazilian real, Indian rupee, Russian ruble and South African rand, equally weighted, relative to the dollar
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| Amount: | $1 million
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| Maturity: | March 7, 2018
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | If the basket return is positive or zero, par plus 14%; if the basket return is negative but greater than or equal to negative 15%, par; if the basket return is less than negative 15%, 1% loss for each 1% decline beyond the 15% buffer
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| Initial spot rates: | 3.1196 for real, 67.4480 for rupee, 59.7667 for ruble, 13.33565 for rand
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| Pricing date: | Feb. 2
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| Settlement date: | Feb. 7
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.6%
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| Cusip: | 46646QXZ3
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