By Marisa Wong
Morgantown, W.Va., Dec. 2 – JPMorgan Chase Financial Co. LLC priced $2.44 million of 0% uncapped contingent buffered return enhanced notes due Nov. 26, 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 upside leverage threshold, 130% of its initial level, the payout at maturity will be par plus (a) the contingent minimum return of 30% plus (b) 1.3 times any gain in the lesser performing index in excess of 30%.
If either index finishes at or below the upside leverage threshold but each index finishes at or above its initial level or falls by no more than 40%, the payout will be par plus 30%.
If either index falls by more than 40%, investors will be fully exposed to the decline of the lesser performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Uncapped contingent buffered return enhanced notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2,439,000
|
| Maturity: | Nov. 26, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above its upside leverage threshold, par plus (a) the contingent minimum return of 30% plus (b) 1.3 times any gain in the lesser performing index in excess of 30%; if either index finishes at or below the upside leverage threshold but each index finishes at or above its initial level or falls by no more than 40%, par plus 30%; if either index falls by more than 40%, investors will be fully exposed to the decline of the lesser performing index
|
| Initial levels: | 2,202.94 for S&P and 1,334.341 for Russell
|
| Upside leverage threshold: 2,863.822 for S&P and 1,734.6433 for Russell; 130% of initial level
|
| Contingent buffer: | 40%
|
| Pricing date: | Nov. 22
|
| Settlement date: | Nov. 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.59522%
|
| Cusip: | 46646E4Y5
|
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