Published on 8/17/2023 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $94,000 review notes linked to Stoxx, MSCI EM index
Chicago, Aug. 17 – JPMorgan Chase Financial Co. LLC priced $94,000 of 0% review notes due July 27, 2026 linked to the lesser performing of the Euro Stoxx 50 index and MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically starting July 25, 2023 and on any subsequent annual review date at a premium of 13.5% per year if the worst performing index closes above 90% of its initial value on the successive determination dates.
The notes will be called at par plus 54% on the final review date if the indexes close above the 90% call value.
If the worst performing index ends lower by more than 10% but above its 70% downside threshold the payout at maturity will be par. Investors will lose 1% for every 1% that the worst performing index declines if it finishes below the downside threshold level.
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: | Review notes
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| Underlying indexes: | Euro Stoxx 50 index and MSCI Emerging Markets index
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| Amount: | $94,000
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| Maturity: | July 27, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Called at par plus 54% if worst performer finishes above 90% call level; if worst performing index finishes lower more than 10% or at or above its downside threshold level, par; 1% loss for every 1% that worst performing index declines if it finishes below its downside threshold level
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| Call: | Automatically starting July 25, 2023 and on any subsequent annual review date at a premium of 13.5% per year if the worst performing index closes above 90% of its initial value on the successive determination dates
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| Initial levels: | 3,596.49 for Stoxx, 990.37 for MSCI EM
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| Call levels: | 90% of initial levels
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| Downside thresholds: | 2,517.543 for Stoxx, 693.259 for MSCI EM, 70% of initial level
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| Pricing date: | July 22, 2022
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| Settlement date: | July 27, 2022
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 48133LFV9
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