By Sarah Lizee
Olympia, Wash., Dec. 23 – JPMorgan Chase Financial Co. LLC priced $4.5 million of 0% capped contingent buffered return enhanced notes due Nov. 4, 2020 linked to the lesser performing of the MSCI World index and the Russell 1000 Value index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes at or above its initial level, the payout at maturity will be par plus 1.1 times the gain of the lesser performing index, capped at par plus 10%.
Investors will receive par if the lesser performing index falls by up to 20%.
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: | Capped contingent buffered return enhanced notes
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| Underlying indexes: | MSCI World and Russell 1000 Value
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| Amount: | $4.5 million
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| Maturity: | Nov. 4, 2020
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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 initial level, par plus 1.1 times any gain of worse performing index capped at par plus 10%; par if worse performing index falls by up to 20%; otherwise, 1% loss for each 1% decline of worse performing index
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| Initial levels: | 2,276.40 for MSCI World and 1,306.557 for Russell 1000
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| Pricing date: | Dec. 2
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| Settlement date: | Dec. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.25%
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| Cusip: | 48132HBS0
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