By Devika Patel
Knoxville, Tenn., Dec. 2 – JPMorgan Chase Financial Co. LLC priced $204,000 of 0% uncapped contingent buffered return enhanced notes due Nov. 27, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If each index finishes at or above its upside leverage threshold, 121% of its initial level, the payout at maturity will be par plus (a) the contingent minimum return of 21% plus (b) 1.15 times any gain in the lesser performing index in excess of 21%.
If either index finishes at or below the upside leverage threshold but each index finishes at or above its initial level or falls by no more than 35%, the payout will be par plus 21%.
If either index falls by more than 35%, investors will be fully exposed to the decline of the lesser performing index.
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: | Uncapped contingent buffered return enhanced notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $204,000
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| Maturity: | Nov. 27, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above its upside leverage threshold, par plus (a) the contingent minimum return of 21% plus (b) 1.15 times any gain in the lesser performing index in excess of 21%; if either index finishes at or below the upside leverage threshold but each index finishes at or above its initial level or falls by no more than 35%, par plus 21%; if either index falls by more than 35%, investors will be fully exposed to the decline of the lesser performing index
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| Initial levels: | 2,202.94 for S&P and 1,334.341 for Russell
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| Upside leverage threshold: 2,665.5574 for S&P and 1,614.55261 for Russell; 121% of initial level
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| Contingent buffer: | 35%
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| Pricing date: | Nov. 22
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| Settlement date: | Nov. 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.25%
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| Cusip: | 46646E4Z2
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