By Wendy Van Sickle
Columbus, Ohio, Feb. 6 – JPMorgan Chase Financial Co. LLC priced $4.97 million of 0% step-up autocallable contingent buffered return enhanced notes due Jan. 31, 2023 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized premium of 11.5% if each index closes above its call level on any annual review date. The call level will be 102% of the initial level on the first review date and will step up by 2% each subsequent year.
If each index finishes above its initial level, the payout at maturity will be par plus 1.5 times the gain of the worse performing index.
If either index falls but by no more than the 50% buffer, the payout will be par.
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
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Step-up autocallable contingent buffered return enhanced notes
|
| Underlying indexes: | Russell 2000 and Euro Stoxx 50
|
| Amount: | $4,972,000
|
| Maturity: | Jan. 31, 2023
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| Coupon: | 0%
|
| Price: | Par
|
| Call: | At par plus a premium of 11.5% a year if each index closes above call level on an annual review date; call level is 102% of initial level on first review date and steps up by 2% each year
|
| Payout at maturity: | If each index finishes above its initial level, par plus 1.5 times the gain of the worse performing index; if either index falls by up to 50%, par; otherwise, 1% loss for each 1% decline of worse performing index
|
| Initial index levels: | 1,608.58 for Russell, 3,647.41for Stoxx
|
| Pricing date: | Jan. 26
|
| Settlement date: | Jan. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.57477%
|
| Cusip: | 48129HD79
|
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