By Susanna Moon
Chicago, Nov. 8 – JPMorgan Chase Financial Co. LLC priced $148,000 of 0% dual directional contingent buffered return enhanced notes due Oct. 30, 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 above its initial level, the payout at maturity will be par plus 1.2 times the gain of the worse performing index up to a maximum return of 19%.
If either index falls by up to 35%, 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.
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: | $148,000
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| Maturity: | Oct. 30, 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 1.2 times return of worse performing index capped at 19%; if either index falls by up to 35%, par plus absolute return of worse performing index; otherwise, 1% loss per 1% decline of worse performing index
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| Initial index levels: | 1,502.773 for Russell and 2,575.26 for S&P
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| Contingent buffer: | 35%
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| Pricing date: | Oct. 31
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| Settlement date: | Nov. 3
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.23649%
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| Cusip: | 48129HEB9
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