New Issue: JPMorgan prices $680,000 digital notes linked to S&P 500, Russell 2000

By Tali Rackner

Norfolk, Va., Aug. 30 – JPMorgan Chase Financial Co. LLC priced $680,000 of 0% digital notes due Aug. 31, 2021 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 each index finishes at or above its digital return barrier, 66.5% of its initial level, the payout will be par plus the contingent digital return of 33%.

If either index finishes below the digital return barrier but above its 50% trigger level, the payout will be par. Otherwise, investors will be fully exposed to the losses of the lesser performing index.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Digital notes
Underlying indexes:	S&P 500, Russell 2000
Amount:	$680,000
Maturity:	Aug. 31, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes at or above digital return barrier, par plus 33%; if either index finishes below digital return barrier but above trigger level, par; otherwise, full exposure to losses of lesser performing index
Initial index levels:	2,169.04 for S&P 500, 1,238.031 for Russell 2000
Digital return barriers:	1,442.4116 for S&P 500, 823.29062 for Russell 2000; 66.5% of initial levels
Trigger levels:	1,084.52 for S&P 500, 619.0155 for Russell 2000; 50% of initial levels
Pricing date:	Aug. 26
Settlement date:	Sept. 2
Agent:	J.P. Morgan Securities LLC
Fees:	2.25%
Cusip:	46646EVM1

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