New Issue: JPMorgan prices $1.87 million capped dual directional buffered return enhanced notes

By Wendy Van Sickle

Columbus, Ohio, Jan. 10 – JPMorgan Chase Financial Co. LLC priced $1.87 million of 0% capped dual directional buffered return enhanced notes due July 5, 2024 linked to a basket containing the S&P 500 index with a 70% weight and the Russell 2000 index with a 30% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket gains, the payout will be par plus 200% of the basket return, capped at par plus 20%.

The payout will be par plus the absolute value of the basket return if the basket declines by no more than 10%.

Otherwise, investors will lose 1% for every 1% that the basket 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
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped dual directional buffered return enhanced notes
Underlying basket:	S&P 500 index (70% weight), Russell 2000 index (30% weight)
Amount:	$1,867,000
Maturity:	July 5, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If basket gains, par plus 200% of basket return, capped at par plus 20%; par plus absolute value of basket return if basket declines by no more than 10%; otherwise, 1% loss for every 1% that basket declines beyond 10%
Initial level:	3,839.5 for S&P, 1,761.246 for Russell
Cap:	20%
Buffer:	10%
Pricing date:	Dec. 30
Settlement date:	Jan. 5
Agent:	J.P. Morgan Securities LLC
Fees:	2.225%
Cusip:	48133TEJ0

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