By Wendy Van Sickle
Columbus, Ohio, July 6 – JPMorgan Chase Financial Co. LLC priced $2.45 million of 0% dual directional contingent buffered return enhanced notes due July 6, 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 initial level, the payout at maturity will be par plus 1.1 times the return of the worse performing index.
If either index falls but by no more than the 28% contingent buffer, the payout will be par plus the absolute value of the return of the worse performing index.
Otherwise, investors will be fully exposed to any losses of the worse performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Dual directional contingent buffered return enhanced notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2,453,000
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| Maturity: | July 6, 2020
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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 return of worse performing index; if either index falls by no more than 28%, par plus the absolute value of the return of the worse performing index; otherwise, full exposure to any losses of worse performing index
|
| Initial index levels: | 2,423.41 for S&P 500 and 1,415.359 for Russell 2000
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| Contingent buffer: | 28%
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| Pricing date: | June 30
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| Settlement date: | July 6
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.25%
|
| Cusip: | 46647MET6
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