By Susanna Moon
Chicago, Feb. 23 – JPMorgan Chase Financial Co. LLC priced $1.11 million of 0% capped dual directional contingent buffered equity notes due Sept. 10, 2021 linked to the iShares MSCI EAFE ETF and the iShares MSCI Emerging Markets ETF, equally weighted, according to a 424B2 filing with the Securities and Exchange Commission.
If the basket finishes at or above its initial level, the payout at maturity will be par plus the gain, up to a maximum return of 33%.
If the basket falls by up to 26%, the payout will be par plus the absolute value of the return.
If the basket falls by more than the contingent buffer, investors will be fully exposed to any losses.
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: | Capped dual directional contingent buffered equity notes
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| Underlying basket: | iShares MSCI EAFE ETF and the iShares MSCI Emerging Markets ETF, equally weighted
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| Amount: | $1,112,000
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| Maturity: | Sept. 10, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus any basket gain, capped at 33%; if basket falls by up to 26%, par plus absolute return; if basket falls by more than 26%, 1% loss per 1% decline
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| Initial levels: | $47.33 for EAFE fund and $47.33 for EM fund
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| Contingent buffer: | 26%
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| Pricing date: | Feb. 5
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| Settlement date: | Feb. 8
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.1%
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| Cusip: | 48129HYE1
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