By Taylor Fox
New York, March 12 – JPMorgan Chase Financial Co. LLC priced $1.28 million of 0% return notes due Feb. 27, 2026 linked to the J.P. Morgan Kronos+ index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
For each $1,000 principal amount of notes, the payout at maturity will be $1,000 multiplied by 103% multiplied by the sum of one plus the index return. This calculation will result in a loss if the index declines by more than 2.91262%.
The level of the index reflects a notional financing cost of 0.95% per year that accrues daily.
The Kronos index is based off the S&P 500 index but uses the theory that the performance of the index is better over the first few and last few days of the month than at other times of the month. Accordingly, the index provides fully invested exposure to the S&P 500, but the exposure can be increased or decreased based on the calendar cycle.
The index tracks 0%, 100% or 200% of the price performance of the constituent, a notional cash return (only if the exposure to the constituent is 0%) or a notional financing cost (only if the exposure to the constituent is 200%) and the daily deduction of a fee of 0.95% per annum. The index has been live since Dec. 22, 2020. It is reported under ticker symbol “JPUSKRNS Index.”
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | J.P. Morgan Kronos+ index
|
| Amount: | $1,280,000
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| Maturity: | Feb. 27, 2026
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | $1,000 multiplied by 103% multiplied by the sum of one plus the index return
|
| Initial index level: | 200.63
|
| Pricing date: | Feb. 26
|
| Settlement date: | March 3
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.25%
|
| Cusip: | 48132RVQ0
|
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