By Angela McDaniels
Tacoma, Wash., June 5 – JPMorgan Chase Financial Co. LLC priced $44,000 of 0% capped dual directional contingent buffered return enhanced notes due May 31, 2018 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 the final level of each index is greater than its initial level, the payout at maturity will be par plus 1.25 times the return of the lesser-performing index, subject to a maximum return of 10%.
If the final level of one index is greater than its initial level and the final level of the other index is equal to or is less than its initial level by up to 15% or if the final level of each index is less than its initial level by up to 15%, the payout will be par plus the absolute value of the lesser-performing index’s return.
If the final level of either index is less than its initial level by more than 15%, investors will lose 1% for every 1% that the lesser-performing index finishes below its initial level.
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: | Capped dual directional contingent buffered return enhanced notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $44,000
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| Maturity: | May 31, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final level of each index is greater than initial level, par plus 1.25 times return of lesser-performing index, subject to 10% maximum return; if final level of one index is greater than initial level and final level of other index is equal to or is less than initial level by up to 15% or if final level of each index is less than initial level by up to 15%, par plus absolute value of lesser-performing index’s return; if final level of either index is less than initial level by more than 15%, 1% loss for every 1% that lesser-performing index finishes below initial level
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| Initial index levels: | 2,411.80 for S&P 500 and 1,370.208 for Russell 2000
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| Pricing date: | May 31
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| Settlement date: | June 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.25%
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| Cusip: | 46647MJM6
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