New York, May 26 – JPMorgan Chase Financial Co. LLC priced $3.55 million of 0% capped dual directional buffered return enhanced notes due June 23, 2023 linked to the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the worst performing index gains, the payout will be par plus 150% of that index’s return capped at par plus 24.15%.
The payout will be par plus the absolute value of the worst performing index return if the worst performing index declines up to 10%.
Investors will lose 1% for every 1% that the worst performing index declines 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 buffered return enhanced notes
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| Underlying indexes: | Nasdaq-100 index and Russell 2000 index
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| Amount: | $3,554,000
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| Maturity: | June 23, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing index gains, par plus 150% of worst performing index return capped at par plus 24.15%; par plus absolute value of worst performing index return if worst performing index declines up to 10%; otherwise, 1% loss for every 1% that worst performing index declines beyond the buffer
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| Initial levels: | 11,835.62 for Nasdaq-100, 1,773.266 for Russell 2000
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| Cap: | 24.15%
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| Buffer: | 10%
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| Pricing date: | May 20
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| Settlement date: | May 25
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.6%
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| Cusip: | 48133GFB4
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