By Angela McDaniels
Tacoma, Wash., Dec. 16 – JPMorgan Chase Financial Co. LLC priced $1.28 million of 0% capped dual directional contingent buffered return enhanced notes due Dec. 15, 2023 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.
If the final level of each index is greater than its initial level, the payout at maturity will be par plus 150% of the lesser-performing index’s return, subject to a maximum upside return of 42.8%.
If the final level of one index is greater than its initial level and the final level of the other index is equal to its initial level or is less than its initial level by up to 35% or if the final level of each index is equal to its initial level or is less than its initial level by up to 35%, the payout will be par plus the absolute value of the lesser-performing index’s return.
If the final level of either index is less than its initial level by more than 35%, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.
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 indexes: | S&P 500 and Russell 2000
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| Amount: | $1,284,000
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| Maturity: | Dec. 15, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final level of each index is greater than initial level, par plus 150% of lesser-performing index’s return, subject to maximum upside return of 42.8%; if final level of one index is greater than initial level and final level of other index is equal to initial level or is less than initial level by up to 35% or if final level of each index is equal to initial level or is less than initial level by up to 35%, par plus absolute value of lesser-performing index’s return; if final level of either index is less than initial level by more than 35%, 1% loss for every 1% that lesser-performing index declines from initial level
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| Initial levels: | 1,644.813 for Russell 2000 and 3,168.57 for S&P 500
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| Pricing date: | Dec. 12
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| Settlement date: | Dec. 19
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 48132HFQ0
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