By Wendy Van Sickle
Columbus, Ohio, March 4 – JPMorgan Chase Financial Co. LLC priced $1.24 million of 0% uncapped dual directional buffered return enhanced notes due March 4, 2021 linked to the lesser performing of the S&P 500 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
The payout at maturity will be par plus 1.26 times any gain of the lesser performing asset.
If either asset falls but the lesser performer declines by no more than the 15% buffer amount then the payout at maturity will be par plus the absolute value of the return of the lesser performing asset.
If the lesser performing asset declines by more than 15% the payout will be par less the loss of that asset beyond 15%.
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 dual directional contingent buffered return enhanced notes
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| Underlying assets: | S&P 500 index and iShares MSCI EAFE exchange-traded fund
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| Amount: | $1,238,000
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| Maturity: | March 4, 2021
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | Par plus 1.26 times any gain of laggard asset; if laggard asset falls by up to 15%, par plus absolute value of its return; otherwise, exposure to losses of laggard asset beyond 15%
|
| Initial values: | 2,784.49 for S&P, $64.27 for ETF
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| Pricing date: | Feb. 28
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| Settlement date: | March 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.5%
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| Cusip: | 48130W2E0
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