New York, July 19 – JPMorgan Chase Financial Co. LLC priced $755,000 of 0% dual directional contingent buffered return enhanced notes due July 19, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 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 1.1 times the return of the lesser-performing index.
If the lesser performing index declines but drops by no more than the 40% contingent buffer, the payout at maturity will be par plus the absolute return of the lesser performing index.
Otherwise the payout will be par minus a loss of 1% for each 1% decline in 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: | Dual directional contingent buffered return enhanced notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $755,000
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| Maturity: | July 19, 2022
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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 1.1 times return of lesser-performing index; if lesser performing index finishes below initial level but loses no more than 40% contingent buffer, par plus par plus absolute value of lesser-performing index’s return; otherwise 1% loss for every 1% that lesser-performing index finishes below initial level
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| Initial index levels: | 2,459.27 for S&P 500 and 1,428.817 for Russell 2000
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| Pricing date: | July 14
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| Settlement date: | July 19
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.125%
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| Cusip: | 46647MXD0
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