New Issue: JPMorgan prices $1.08 million dual directional buffered notes linked to Nasdaq, S&P, Russell

By Angela McDaniels

Tacoma, Wash., July 22 – JPMorgan Chase Financial Co. LLC priced $1.08 million of 0% capped dual directional buffered return enhanced notes due July 21, 2022 linked to the least performing of the Nasdaq-100 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes above its initial level, the payout at maturity will be par plus two times the least-performing index’s return, subject to a maximum upside return of 36%.

If the final level of one index is greater than its initial level and the final levels of the other indexes are equal to their initial levels or less than their initial levels by up to 16.25% or if the final level of each index is equal to its initial level or is less than its initial level by up to 16.25%, the payout will be par plus the absolute value of the least-performing index’s return.

If the final level of any index is less than its initial level by more than 16.25%, investors will lose 1% for every 1% that the least-performing index declines beyond 16.25%.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped dual directional buffered return enhanced notes
Underlying indexes:	Nasdaq-100, S&P 500 and Russell 2000
Amount:	$1,081,000
Maturity:	July 21, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes above initial level, par plus two times least-performing index’s return, subject to maximum upside return of 36%; if final level of one index is greater than initial level and final levels of other indexes are equal to initial levels or less than initial levels by up to 16.25% or if final level of each index is equal to initial level or is less than initial level by up to 16.25%, par plus absolute value of least-performing index’s return; if final level of any index is less than initial level by more than 16.25%, 1% loss for every 1% that least-performing index declines beyond 16.25%
Initial levels:	7,904.132 for Nasdaq-100, 1,555.624 for Russell 2000 and 2,995.11 for S&P 500
Pricing date:	July 18
Settlement date:	July 23
Agent:	J.P. Morgan Securities LLC
Fees:	0.5%
Cusip:	48132C4G5

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