Mercy refers to the return of Jesus Christ (see 1 Thessalonians 1:9–10), a reminder that he is coming that should encourage present holiness. Jude uses mercy to refer to an eschatological (end times) blessing that will be given to believers at the final consummation (Luke 1:78; 2 Timothy 1:16–18; Romans 9:23; 1 Peter 1:3), the opposite of judgment which will come upon those who disobey the gospel (James 2:13).1
21 keep yourselves in the love of God, waiting for the mercy of our Lord Jesus Christ that leads to eternal life.