By Susanna Moon
Chicago, Jan. 30 – JPMorgan Chase Financial Co. LLC priced $1.26 million of 0% contingent buffered return enhanced notes due Jan. 31, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
If each index finishes at or above its 130% upside leverage threshold, the payout at maturity will be par plus 1.3 times the return of the worse performing index above the contingent minimum return of 30%.
If each index gains by up to the upside threshold or falls by up to the 40% contingent buffer, the payout will be par plus 30%.
Otherwise, investors will be fully exposed to any losses of the worse performing index.
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: | Contingent buffered return enhanced notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $1.26 million
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| Maturity: | Jan. 31, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above its 130% upside leverage threshold, par plus 1.3 times the return of the worse performing index above 30%; if each index gains by up to upside threshold or falls by up to the 40%, par plus 30%; otherwise, full exposure to any losses of worse performing index
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| Initial index level: | 2,296.68 for S&P and 1,375.595 for Russell
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| Upside leverage threshold: | 2,985.684 for S&P and 1,788.2735 for Russell; 130% of initial levels
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| Contingent buffer: | 40%
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.60575%
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| Cusip: | 46646QHR9
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