By Marisa Wong
Morgantown, W.Va., March 23 – JPMorgan Chase Financial Co. LLC priced $21.9 million of 0% capped dual directional contingent buffered return enhanced notes due Sept. 24, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the MSCI EAFE index or an equally weighted basket consisting of those two indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
A trigger event occurs if the final level of either index is less than its initial level by more than the contingent buffer amount of 40%.
If a trigger event has not occurred and the final basket level is greater than its initial level, the payout at maturity will be par plus 2.85 times the basket return, subject to a maximum payout of $1,500 per $1,000 of notes.
If a trigger event has not occurred but the final basket level is less than or equal to the initial level, the payout will be par plus 50% times the absolute value of the basket return. The maximum payout in this case is capped at $1,200.
If a trigger event has occurred, the payout will be par plus the return of the lesser-performing index. In this case, investors will not benefit from the performance of the basket and, instead, will be fully exposed to the decline of the lesser performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Capped dual directional contingent buffered equity notes
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| Underlying indexes: | Euro Stoxx 50, MSCI EAFE
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| Underlying basket: | Euro Stoxx 50 index with 50% weight, MSCI EAFE with 50% weight
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| Amount: | $21,902,000
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| Maturity: | Sept. 24, 2020
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| Coupon: | 0%
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| Price: | Par
|
| Payout at maturity: | If a trigger event has not occurred and the final basket level is greater than its initial level, par plus 2.85 times the basket return, subject to a maximum return of 50%; if a trigger event has not occurred but the final basket level is less than or equal to the initial level, par plus 50% times the absolute value of the basket return, subject to maximum return of 20%; if a trigger event has occurred, par plus the return of the lesser-performing index, with full exposure to losses
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| Trigger event: | Final level of either index is less than its initial level by more than 40%
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| Initial levels: | 3,429.62 for Euro Stoxx and 1,800.33 for MSCI EAFE
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| Pricing date: | March 21
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| Settlement date: | March 24
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.175%
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| Cusip: | 46646QX42
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