By Susanna Moon
Chicago, June 13 – JPMorgan Chase Financial Co. LLC priced $1.124 million of 0% dual directional contingent buffered equity notes due June 11, 2020 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 initial, the payout at maturity will be par plus the gain of the worse performing asset.
If either asset falls by up to the 24% contingent 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: | Uncapped dual directional contingent buffered equity notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $1,241,000
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| Maturity: | June 11, 2020
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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 return of worse performing asset; if either asset falls by up to 40%, par plus absolute return of worse performing index; otherwise, 1% loss for each 1% decline of worse performing index
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| Initial levels: | 1,667.775 for Russell and 2,770.37 for S&P
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| Contingent buffer: | 24%
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| Pricing date: | June 7
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| Settlement date: | June 12
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.4%
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| Cusip: | 48129MUX2
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