JPMorgan to price buffered digital notes linked to four currencies

By Marisa Wong

Morgantown, W.Va., March 20 – JPMorgan Chase Financial Co. LLC plans to price 0% buffered digital notes due April 26, 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 at least 7%. The exact digital return will be set at pricing.

If the basket return is negative but greater than or equal to negative 25%, the payout will be par.

If the basket return is less than negative 25%, investors will lose 1.33333% for each 1% decline beyond the 25% buffer.

J.P. Morgan Securities LLC is the agent.

The notes will price March 22.

The Cusip number is 46646QX83.

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