By Susanna Moon
Chicago, May 5 – JPMorgan Chase Financial Co. LLC priced $2.03 million of 0% uncapped dual directional contingent buffered return enhanced notes due April 30, 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.
If each index finishes at or above the initial level, the payout at maturity will be par plus 1.15 times the gain of the worse performing index.
If either index falls but by no more than 28%, the payout will be par plus the absolute value of the return of the worse performing index.
If either index falls by more the contingent buffer, investors will lose 1% for each 1% decline of the worse performing index.
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: | Uncapped dual directional contingent buffered return enhanced notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2,031,000
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| Maturity: | April 30, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index gain, par plus 1.15 times return of the worse performing index; if either index falls by up to 28%, par plus absolute return of worse performing index; otherwise, 1% loss for each 1% decline of worse performing index
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| Initial levels: | 1,400.428 for Russell and 2,384.20 for S&P
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| Contingent buffer: | 28%
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| Pricing date: | April 28
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| Settlement date: | May 3
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.56536%
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| Cusip: | 46646Q2F1
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