By Wendy Van Sickle
Columbus, Ohio, July 31 – JPMorgan Chase Financial Co. LLC $2.36 million of 0% dual directional contingent buffered return enhanced notes due July 29, 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 the greater of the return of the lesser-performing index and 40%.
If the lesser performing index declines but drops by no more than the 30% 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
|
| 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
|
| Amount: | $2,364,000
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| Maturity: | July 29, 2022
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| Coupon: | 0%
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| Price: | Par
|
| Payout at maturity: | If final level of each index is greater than initial level, par plus greater of return of lesser-performing index and 40%; if lesser performing index finishes below initial level but loses no more than 30% 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
|
| Initial index levels: | 2,477.83 for S&P, 1,442.279 for Russell
|
| Pricing date: | July 26
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| Settlement date: | July 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.76227%
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| Cusip: | 46647MVC4
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