By Susanna Moon
Chicago, Dec. 22 – JPMorgan Chase Financial Co. LLC priced $2.53 million of 0% uncapped contingent buffered return enhanced notes due Dec. 23, 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 the contingent minimum return of 30% plus 1.3 times the return of the worse performing index of more than 30%.
If either index finishes at or below the upside leverage threshold but each index finishes at or above the 60% barrier level, the payout will be par plus 30%.
If either index falls by more than 40%, investors will be fully exposed to any losses of the worse performing index.
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: | Uncapped contingent buffered return enhanced notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2,527,000
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| Maturity: | Dec. 23, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index gains at or above its 130% upside leverage threshold, par plus 30% plus 1.3 times return of worse performing index above 30%; if either index gains by up to upside threshold or falls by no more than 40%, par plus 30%; otherwise, full exposure to any losses of worse performing index
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| Initial levels: | 2,270.76 for S&P and 1,383.956 for Russell
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| Contingent buffer: | 40%
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 23
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.53245%
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| Cusip: | 46646QDH5
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