By Marisa Wong
Morgantown, W.Va., July 26 – JPMorgan Chase Financial Co. LLC priced $875,000 of 0% uncapped dual directional buffered return enhanced notes due July 28, 2020 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 are guaranteed by JPMorgan Chase & Co.
If each underlying asset finishes above its initial level, the payout at maturity will be par plus 1.02 times the gain of the worse performing asset.
If either asset falls but neither falls by more than 15%, 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 asset beyond the 15% buffer.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Uncapped dual directional buffered return enhanced notes
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| Underlying assets: | S&P 500 index, iShares MSCI EAFE ETF
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| Amount: | $875,000
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| Maturity: | July 28, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each asset gains, par plus 1.02 times return of worse performing asset; if either asset falls but neither falls by more than 15%, par plus absolute return of worse performing index or fund; otherwise, 1% loss for each 1% decline of worse performing asset beyond 15%
|
| Initial levels: | 2,806.98 for index, $68.07 for fund
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| Pricing date: | July 23
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| Settlement date: | July 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.5%
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| Cusip: | 48129M4T0
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