By Susanna Moon
Chicago, Aug. 3 – JPMorgan Chase Financial Co. LLC priced $1.08 million of 0% dual directional contingent buffered return enhanced notes due July 29, 2021 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 each index finishes at or above its initial level, the payout at maturity will be par plus 1.2 times the return of the worse performing index.
If either index declines but by no more than the 30% contingent buffer, the payout at maturity will be par plus the absolute value of the return of the worse performing index.
Otherwise, the payout will be par plus the return of the worse performing index with full exposure to any losses.
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: | $1,077,000
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| Maturity: | July 29, 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 1.2 times return of worse performing index; if either index falls by no more than 30%, par plus absolute return of worse performing index; otherwise, par plus return of worse performing index
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| Initial index levels: | 2,477.83 for S&P, 1,442.279 for Russell
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| Contingent buffer: | 30%
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| Pricing date: | July 26
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| Settlement date: | July 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.71518%
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| Cusip: | 46647MUP6
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