By Susanna Moon
Chicago, March 5 – JPMorgan Chase Financial Co. LLC priced $1 million of 0% uncapped buffered return enhanced notes due Feb. 17, 2023 linked to the lesser performing of the Russell 2000 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes above its 120% upside leverage threshold, the payout at maturity will be par plus 2.15 times the gain of the worse performing index over the contingent minimum return of 20%.
If either index gains by up to its upside threshold, the payout will be par plus 20%.
If either index falls by up to 20%, the payout will be par.
Otherwise, investors will lose 1% for each 1% decline of the worse performing index beyond the buffer.
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: | Uncapped buffered return enhanced notes
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| Underlying assets: | Russell 2000 index and iShares MSCI Emerging Markets ETF
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| Amount: | $1 million
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| Maturity: | Feb. 17, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index gains by more than 20%, par plus 2.15 times return of worse performing index 20%; if either index gains by up to 20%, par plus 20%; if either index falls by up to 20%, par; otherwise, 1% loss per 1% decline of worse performing index beyond 20%
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| Initial levels: | 1,522.096 for Russell, $48.70 for fund
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| Upside thresholds: | 1,826.5152 for Russell, $58.44 for fund, 120% of initial levels
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| Pricing date: | Feb. 14
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| Settlement date: | Feb. 20
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.55%
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| Cusip: | 48129H5N3
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