By Susanna Moon
Chicago, Oct. 3 – JPMorgan Chase Financial Co. LLC priced $1.27 million of 0% dual directional contingent buffered return enhanced notes due Sept. 30, 2022 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.
If each index finishes above its initial level, the payout at maturity will be par plus 1.22 times the gain of the worse performing index.
If either index falls but by no more than the 33% buffer, the payout will be par plus the absolute value of the return of the worse performing index.
Otherwise, investors will lose 1% for each 1% decline of the worse performing index.
The notes are guaranteed by JPMorgan Chase & Co.
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, Russell 2000
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| Amount: | $1,268,000
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| Maturity: | Sept. 30, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes above its initial level, par plus 1.22 times the gain of the worse performing index; if either index falls by up to 33%, par plus absolute return of worse performing index; otherwise, 1% loss for each 1% decline of worse performing index
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| Initial index levels: | 2,496.84 for S&P, 1,456.86 for Russell
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| Contingent buffer: | 33%
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| Pricing date: | Sept. 26
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| Settlement date: | Sept. 29
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.25%
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| Cusip: | 46647M3J0
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