By Angela McDaniels
Tacoma, Wash., May 24 – JPMorgan Chase Financial Co. LLC priced $620,000 of 0% dual directional contingent buffered return enhanced notes due May 24, 2018 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.
The notes are guaranteed by JPMorgan Chase & Co.
If the final level of each index is greater than its initial level, the payout at maturity will be par plus 1.05 times the return of the lesser-performing index.
If the final level of either index is equal to its initial level or is less than its initial level by up to 20%, 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 20%, investors will lose 1% for every 1% that the lesser-performing index’s final level is below its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Dual directional contingent buffered return enhanced notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $620,000
|
| Maturity: | May 24, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each index finishes above its initial level, par plus 1.05 times return of lesser-performing index; if either index is flat or falls by up to 20%, par plus absolute value of lesser-performing index’s return; if either index falls by more than 20%, full exposure to decline of lesser-performing index
|
| Initial levels: | 2,052.32 for S&P 500 and 1,112.276 for Russell 2000
|
| Pricing date: | May 20
|
| Settlement date: | May 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.55%
|
| Cusip: | 46646EBJ0
|
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