By Wendy Van Sickle
Columbus, Ohio, July 26 – JPMorgan Chase Financial Co. LLC priced $14.29 million of 0% capped contingent buffered return enhanced notes due July 26, 2021 linked to the lesser performing of the S&P 500 index and the iShares MSCI Emerging Markets ETF, according to an 424B2 filing with the Securities and Exchange Commission.
If each asset finishes above its initial level, the payout at maturity will be par plus 1.4 times the worse performing asset gain, up to a maximum return of 55%.
If either asset falls by up to the 25% contingent buffer, the payout will be par. Investors will be fully exposed to losses of the worse performing asset if it falls by more than the 25% contingent buffer.
J.P. Morgan Securities LLC is the agent.
The notes are guaranteed by JPMorgan Chase & Co.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Capped contingent buffered return enhanced notes
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| Underlying assets: | S&P 500 index and iShares MSCI Emerging Markets ETF
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| Amount: | $14.29 million
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| Maturity: | July 26, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each component gains, par plus 1.4 times return of worse performing index or fund, capped at 55%; par if lesser component falls by up to 25%; otherwise, 1% loss per 1% drop of worse performing component
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| Initial levels: | 2,472.54 for index, $43.63 for fund
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| Contingent buffer: | 25%
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| Pricing date: | July 21
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| Settlement date: | July 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.25%
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| Cusip: | 46647MME0
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