By William Gullotti
Buffalo, N.Y., March 9 – JPMorgan Chase Financial Co. LLC priced $3.72 million of 0% capped dual directional buffered return enhanced notes due Sept. 6, 2024 linked to a weighted basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 70% weight and the Russell 2000 index with a 30% weight.
If the basket finishes at or above its initial level, the payout at maturity will be par plus 1.5 times the basket’s return, subject to a maximum upside return of par plus 17.65%.
If the final level of the basket falls by up to 10%, the payout will be par plus the absolute value of the basket’s return.
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 indexes: | S&P 500 index (70% weight), Russell 2000 index (30% weight)
|
| Amount: | $3,715,000
|
| Maturity: | Sept. 6, 2024
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the basket finishes at or above initial level, par plus 1.5 times basket’s return, subject to maximum upside return of par plus 17.65%; if final level of basket is less than initial level by up to 10%, par plus absolute value of basket’s return; otherwise, 1% loss for every 1% that basket declines beyond 10%
|
| Initial levels: | 1,928.263 for Russell, 4,045.64 for S&P
|
| Buffer levels: | 90% of initial levels
|
| Pricing date: | March 3
|
| Settlement date: | March 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.225%
|
| Cusip: | 48133UJV5
|
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