By Sarah Lizee
Olympia, Wash., May 11 – JPMorgan Chase Financial Co. LLC priced $1.06 million of 0% capped dual directional contingent buffered equity notes due May 21, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than the initial strike level, the payout at maturity will be par plus the index return, subject to a maximum return of 7%.
If the index falls by up to 20.86%, the payout will be par plus the absolute value of the index return.
Otherwise, investors will lose 1.26358% for every 1% decline beyond the buffer.
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: | Capped dual directional contingent buffered equity notes
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| Underlying index: | S&P 500
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| Amount: | $1.06 million
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| Maturity: | May 21, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the final index level is greater than the initial strike level, par plus the index return, subject to a maximum return of 7%; if the index falls by up to buffer level, par plus the absolute value of the index return; 1.26358% loss for every 1% decline beyond the buffer
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| Initial strike level: | 2,868.44
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| Final level: | Average of index closing levels for five trading days ending May 18, 2021
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| Buffer level: | 79.14% of initial level
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| Pricing date: | May 6
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| Settlement date: | May 11
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48132K6S9
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