By Susanna Moon
Chicago, April 25 – JPMorgan Chase Financial Co. LLC priced $1.37 million of 0% dual directional contingent buffered return enhanced notes due April 25, 2022 linked to the lesser performing of the Russell 2000 index and the PowerShares QQQ Trust, series 1, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying asset finishes at or above its initial level, the payout at maturity will be par plus 4 times the gain of the worse performing asset up to a maximum return of 45.75%.
If either asset falls but finishes at or above its 70% threshold, the payout will be par plus the absolute value of the return of the worse performing asset.
Otherwise, investors will lose 1% for each 1% decline of the worse performing index or fund.
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: | Capped dual directional contingent buffered return enhanced notes
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| Underlying assets: | Russell 2000 index and PowerShares QQQ Trust, series 1
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| Amount: | $1,369,000
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| Maturity: | April 25, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each asset gains, par plus 4 times gain of worse performing asset up to a maximum return of 45.75%; if either asset falls by up to 30%, par plus absolute return of worse performing asset; otherwise, 1% loss for each 1% decline of worse performing index or fund
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| Initial levels: | 1,564.124 for Russell and $162.30 for fund
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| Contingent buffer: | 30%
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| Pricing date: | April 20
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| Settlement date: | April 25
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48129MA89
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