Published on 8/29/2023 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $252,000 review notes linked to Stoxx, EM index
Chicago, Aug. 29 – JPMorgan Chase Financial Co. LLC priced $252,000 of 0% review notes due Aug. 24, 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 Aug. 22, 2023 and on any subsequent annual review date at a premium of 13.15% per year if the worst performing index closes above 90% of its initial value on the successive determination dates.
The final call premium on the maturity date is 52.6%.
If the worst performing index ends below the 90% call level 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: | $252,000
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| Maturity: | Aug. 24, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing index finishes below 90% call level but 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 Aug. 22, 2023 and on any subsequent annual review date at a premium of 13.15% per year if the worst performing index closes above 90% of its initial value on the successive determination dates
|
| Initial levels: | 3,730.32 for Stoxx, 1,001.46 for EM
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| Call levels: | 90% of initial levels
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| Downside thresholds: | 2,611.224 for Stoxx, 701.022 for EM, 70% of initial level
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| Pricing date: | Aug. 19, 2022
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| Settlement date: | Aug. 24, 2022
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 48133LC83
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