New York, July 21 – JPMorgan Chase Financial Co. LLC priced $1.29 million of 0% uncapped dual directional contingent buffered return enhanced notes due July 17, 2020 linked to the lesser performing of the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If each fund finishes at or above the initial level, the payout at maturity will be par plus 1.1 times the gain of the worse performing fund.
If either fund falls but by no more than the 28% contingent buffer, the payout will be par plus the absolute value of the return of the worse performing fund.
If either fund falls by more 28%, investors will lose 1% for each 1% decline of the worse performing 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 ETFs: | iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund
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| Amount: | $1,289,000
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| Maturity: | July 17, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each fund gains, par 1.1 times return of worse performing fund; if either fund falls but by no more than 28% contingent buffer, par plus absolute value of return of worse performing fund; if either fund falls by more than 28%, investors will lose 1% for each 1% decline of the worse performing fund
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| Initial levels: | $66.32 for iShares MSCI EAFE, $43.42 for iShares MSCI Emerging Markets
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| Pricing date: | July 14
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| Settlement date: | July 19
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 46647MVR1
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