By Kiku Steinfeld
Chicago, June 2 – JPMorgan Chase Financial Co. LLC priced $550,000 of 0% digital notes due Feb. 3, 2022 linked to the performance of the Canadian dollar relative to the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.
If the ending spot rate is less than or equal to the 97% digital return threshold, investors will receive $950 per $1,000 note plus the 25.8% contingent digital return. In this scenario the Canadian dollar would have appreciated relative to the U.S. dollar.
If the ending spot rate is greater than the digital return threshold, investors will receive $950 per note. In this case the Canadian dollar would not appreciate relative to the U.S. dollar enough, remained flat or depreciated.
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: | Digital notes
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| Underlying currencies: | Canadian dollar relative to U.S. dollar
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| Amount: | $550,000
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| Maturity: | Feb. 3, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If ending spot rate is less than or equal to digital return threshold, $950 plus 25.8% contingent digital return; otherwise, $950 per note
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| Strike rate: | 1.23955
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| Digital return threshold: | 1.20236, 97% of initial rate
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| Pricing date: | Oct. 29, 2021
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| Settlement date: | Nov. 3, 2021
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.25%
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| Cusip: | 48130UYT6
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