By Susanna Moon
Chicago, March 1 – JPMorgan Chase Financial Co. LLC priced $1.73 million of 0% uncapped dual directional contingent buffered return enhanced notes due Feb. 14, 2022 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If each underlying component finishes at or above the initial level, the payout at maturity will be 2.23 times the gain of the lesser performing index or fund.
If either component falls by up to the 40% contingent buffer, the payout will be par plus the absolute value of the return of the worse performing index or fund.
Otherwise, investors will lose 1% for each 1% decline of the worse performing index or fund.
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: | Euro Stoxx 50 index and iShares MSCI Emerging Markets ETF
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| Amount: | $1,734,000
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| Maturity: | Feb. 14, 2022
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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 2.23 times return of worse performing component; if either component falls by up to 40%, par plus absolute return of worse performing component; otherwise, 1% loss per 1% decline of worse performing index or fund
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| Initial values: | 3,325.99 for Stoxx, $46.42 for fund
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| Contingent buffer: | 40%
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| Pricing date: | Feb. 9
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| Settlement date: | Feb. 16
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.25%
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| Cusip: | 48129H5F0
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