By Susanna Moon
Chicago, May 17 – JPMorgan Chase Financial Co. LLC priced $3.91 million of 0% contingent buffered equity notes due April 28, 2023 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.
If each underlying index finishes above its 121.5% upside threshold, the payout at maturity will be par plus 21.5% plus 1.2 times the gain of the worse performing asset above 21.5%.
If either asset gains by up to the upside threshold or falls by up to the 40% contingent buffer, the payout will be par plus 21.5%.
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: | Contingent buffered equity notes
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Underlying indexes: | Russell 2000 and S&P 500
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Amount: | $3,911,000
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Maturity: | April 28, 2023
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If each asset gains by more than 21.5%, par plus 21.5% plus 1.2 times return of worse performing asset over 21.5%; if either asset gains by up to 21.5% or falls by up to 40%, par plus 21.5%; otherwise, 1% loss for each 1% decline of worse performing index
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Initial levels: | 1,541.884 for Russell and 2,648.05 for S&P
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Upside thresholds: | 1,873.389 for Russell and 3,217.38 for S&P; 121.5% of initial levels
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Contingent buffer: | 40%
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Pricing date: | April 30
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Settlement date: | May 3
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.68042%
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Cusip: | 48129MKG0
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