By Susanna Moon
Chicago, Oct. 23 – JPMorgan Chase Financial Co. LLC priced $1.6 million of 0% dual directional contingent buffered return enhanced notes due Sept. 29, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying index finishes above its initial, the payout at maturity will be par plus 1.17 times the gain of the worse performing asset.
If either asset 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.
Otherwise, investors will lose 1% for each 1% decline of the worse performing index.
The notes are guaranteed by JPMorgan Chase & Co.
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 indexes: | Russell 2000 and S&P 500
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| Amount: | $1,599,000
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| Maturity: | Sept. 29, 2023
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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 1.17 times return of worse performing asset; if either asset falls by up to 40%, par plus absolute return of worse performing index; otherwise, 1% loss for each 1% decline of worse performing index
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| Initial levels: | 1,696.571 for Russell and 2,913.98 for S&P
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| Contingent buffer: | 40%
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| Pricing date: | Sept. 28
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| Settlement date: | Oct. 3
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.69473%
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| Cusip: | 48130UGM1
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