Published on 5/11/2023 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $500,000 return notes linked to basket of 30 stocks
By Kiku Steinfeld
Chicago, May 11 – JPMorgan Chase Financial Co. LLC priced $500,000 of 0% return notes due Jan. 23, 2024 linked to an unequally weighted basket of 30 stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The stocks are ConocoPhillips (6% weight), Exxon Mobil Corp. (6% weight), Citigroup Inc. (6% weight), Wells Fargo & Co. (6 % weight), Charles Schwab Corp. (6% weight), Freeport-McMoRan Inc. (5.6945985535% weight), Devon Energy Corp. (4.6025747231% weight), Occidental Petroleum Corp. (4.4827205825% weight), Schlumberger NV (4.1930029039% weight), Pioneer Natural Resources Co. (4.0475218497% weight), EOG Resources, Inc. (3.8808474144% weight), Alcoa Corp. (3.6861697331% weight), Truist Financial Corp. (3.2141205821% weight), Dow Inc. (2.9834995181% weight), Valero Energy Corp. (2.8597777592% weight), Phillips 66 (2.7452245687%weight), Marathon Oil Corp. (2.4340310093% weight), Synchrony Financial (2.3647848207% weight), Diamondback Energy, Inc. (2.2518046372% weight), Prudential Financial, Inc. (2.1813662656% weight), LyondellBasell Industries NV (2.1222154338% weight), Citizens Financial Group, Inc. (2.0692942471% weight), United Airlines Holdings, Inc. (1.9071296560% weight), APA Corp. (1.8638036702% weight), Regions Financial Corp. (1.8541656172% weight), CF Industries Holdings, Inc. (1.8372979718% weight), KeyCorp (1.7860116922% weight), M&T Bank Corp. (1.7590706551% weight), Avis Budget Group, Inc. (1.6574906094% weight) and Baker Hughes Co. (1.5214755261% weight).
Investors will be exposed to 101.35% of the basket return, which will be the final basket level related to the strike level, which was 100.98 on the strike date.
The basket strike level compares the stocks in the basket on the Jan. 5, 2023 strike date against the stock prices on the base date, which was the closing levels of the stocks on Feb. 16, 2022.
Similarly, the final valuation will compare the stocks on that valuation date against the stock prices on the base date.
However, the final return of the basket will be measured against the basket level on the strike date which was 100.98, as mentioned above.
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: | Return notes
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| Underlying basket: | ConocoPhillips (6% weight), Exxon Mobil Corp. (6% weight), Citigroup Inc. (6% weight), Wells Fargo & Co. (6 % weight), Charles Schwab Corp. (6% weight), Freeport-McMoRan Inc. (5.6945985535% weight), Devon Energy Corp. (4.6025747231% weight), Occidental Petroleum Corp. (4.4827205825% weight), Schlumberger NV (4.1930029039% weight), Pioneer Natural Resources Co. (4.0475218497% weight), EOG Resources, Inc. (3.8808474144% weight), Alcoa Corp. (3.6861697331% weight), Truist Financial Corp. (3.2141205821% weight), Dow Inc. (2.9834995181% weight), Valero Energy Corp. (2.8597777592% weight), Phillips 66 (2.7452245687%weight), Marathon Oil Corp. (2.4340310093% weight), Synchrony Financial (2.3647848207% weight), Diamondback Energy, Inc. (2.2518046372% weight), Prudential Financial, Inc. (2.1813662656% weight), LyondellBasell Industries NV (2.1222154338% weight), Citizens Financial Group, Inc. (2.0692942471% weight), United Airlines Holdings, Inc. (1.9071296560% weight), APA Corp. (1.8638036702% weight), Regions Financial Corp. (1.8541656172% weight), CF Industries Holdings, Inc. (1.8372979718% weight), KeyCorp (1.7860116922% weight), M&T Bank Corp. (1.7590706551% weight), Avis Budget Group, Inc. (1.6574906094% weight) and Baker Hughes Co. (1.5214755261% weight)
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| Amount: | $500,000
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| Maturity: | Jan. 23, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par times 101.35% of the basket return; basket determined using stock prices from base date; basket return compared with basket level on strike date
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| Initial levels: | 90.21 for ConocoPhillips, $78.35 for Exxon Mobil, $66.95 for Citigroup, $58.14 for Wells Fargo, $89.33 for Charles Schwab, $44.25 for Freeport-McMoRan, $53.85 for Devon Energy, $39.65 for Occidental Petroleum, $41.69 for Schlumberger, $222.48 for Pioneer Natural Resources, $111.77 for EOG Resources, $77.84 for Alcoa, $64.71 for Truist, $62.08 for Dow, $88.04 for Valero Energy, $88.3 for Phillips 66, $21.07 for Marathon Oil, $44.85 for Synchrony, $129.82 for Diamondback, $118.16 for Prudential, $103.15 for LyondellBasell, $55.23 for Citizens Financial, $50.21 for United Airlines, $32.4 for APA, $25.24 for Regions Financial, $74.42 for CF Industries, $26.61 for KeyCorp, $186.1 for M&T Bank, $174.8 for Avis Budget, $29.71 for Baker Hughes; established on base date
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| Strike level of basket: | 100.98; established on strike date
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| Base date: | Feb. 16, 2022
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| Strike date: | Jan. 5, 2023
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| Pricing date: | Jan. 6, 2023
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| Settlement date: | Jan. 11, 2023
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| Agent: | J.P. Morgan Securities Inc.
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| Fees: | 1%
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| Cusip: | 48133TSN6
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