By William Gullotti
Buffalo, N.Y., Oct. 1 – JPMorgan Chase Financial Co. LLC priced $2.93 million of 0% capped dual directional buffered return enhanced notes due July 19, 2023 linked to the least performing of 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 1.5 times the lesser-performing index’s return, subject to a maximum upside return of par plus 22.7%.
If the final level of the lesser-performing is flat or falls by up to 10%, the payout will be par plus the absolute value of the lesser-performing index’s return.
If the final level of either index is less than its initial level by more than 10%, investors will lose 1% for every 1% that the lesser-performing index declines beyond 10%.
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 buffered return enhanced notes
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| Underlying indexes: | S&P 500 index and Russell 2000
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| Amount: | $2.93 million
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| Maturity: | July 19, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes above initial level, par plus 1.5 times lesser-performing index’s return, subject to maximum upside return of par plus 22.7%; if final level of lesser-performing index is equal to initial level or is less than initial level by up to 10%, par plus absolute value of lesser-performing index’s return; otherwise, 1% loss for every 1% that lesser-performing index declines beyond 10%
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| Initial levels: | 2,202.358 for Russell, 4,374.3 for S&P
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| Buffer levels: | 90% of initial levels
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| Pricing date: | July 14
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| Settlement date: | July 19
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.35%
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| Cusip: | 48132U2G7
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