By Susanna Moon
Chicago, June 2 – JPMorgan Chase Financial Co. LLC priced $498,000 of dual directional contingent buffered return enhanced notes due May 28, 2021 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 1.1 times the gain of the worse performing index.
If either index falls but by no more than the 30% contingent buffer, the payout will be par plus the absolute value of the return of the worse performing index.
If either index falls by more 30%, 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: | Dual directional contingent buffered return enhanced notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $498,000
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| Maturity: | May 28, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index gains, par plus 1.1 times the gain of the worse performing index; if either index falls by up to 30%, 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: | 2,415.07 for S&P and 1,383.388 for Russell
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| Contingent buffer: | 30%
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| Pricing date: | May 25
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| Settlement date: | May 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.25%
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| Cusip: | 46647MJQ7
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