By Susanna Moon
Chicago, Nov. 27 – JPMorgan Chase Financial Co. LLC priced $815,000 of 0% dual directional buffered equity notes due Nov. 12, 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, up to a maximum return of 37.5%.
If either asset falls by up to 15%, 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 beyond the buffer.
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 buffered equity notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $815,000
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| Maturity: | Nov. 12, 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 capped at 37.5%; if either asset falls by up to 15%, par plus absolute return of worse performing index; otherwise, 1% loss for each 1% decline of worse performing index beyond 15%
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| Initial levels: | 1,556.098 for Russell and 2,755.45 for S&P
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| Pricing date: | Nov. 6
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| Settlement date: | Nov. 9
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48130UX67
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