Published on 3/13/2023 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $504,000 uncapped dual directional digital barrier notes on indexes
Chicago, March 13 – JPMorgan Chase Financial Co. LLC priced $504,000 of 0% uncapped dual directional digital accelerated barrier notes due May 20, 2027 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filed with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If each index finishes at or above 140% of its initial level, the payout at maturity will be the greater of par plus 40% plus 1.06 times the gain in the worst performer over the 140% upside leverage threshold.
If the worst performer finishes between its initial level and 140% of initial level, investors will receive par plus 40%.
If the worst performer declines but finishes at or above 70% of its initial level, the payout will be par plus the absolute value of that index’s return.
Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level.
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 dual directional digital accelerated barrier notes
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| Underlying indexes: | Russell 2000 index, Nasdaq-100 index, S&P 500 index
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| Amount: | $504,000
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| Maturity: | May 20, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If all indexes finish at or above 140% of initial levels, par plus 40% plus 1.06 times each 1% gain of worst performer over 140% upside leverage threshold; par plus 40% if worst performer finishes between initial level and 140% of initial level; if the worst performer declines up to the barrier level, par plus absolute value of that index return; otherwise, 1% loss for each 1% decline of the worst performer from initial level
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| Initial index levels: | 12,564.10 for Nasdaq, 1,840.298 for Russell, 4,088.85 for S&P
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| Upside leverage thresholds: | 17,589.74 for Nasdaq, 2,576.4172 for Russell, 5,724.39 for S&P; 140% of initial levels
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| Barrier levels: | 8,794.87 for Nasdaq, 1,288.2086 for Russell, 2,862.195 for S&P; 70% of initial levels
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| Pricing date: | May 17, 2022
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| Settlement date: | May 20, 2022
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.125%
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| Cusip: | 48133GCK7
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