By Susanna Moon
Chicago, Feb. 13 – JPMorgan Chase Financial Co. LLC priced $1.5 million of autocallable buffered equity notes due Feb. 2, 2023 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus 14.3% if each underlying component closes above its initial level on any annual review date other than the final date.
If each underlying component finishes at or above its initial level, the payout at maturity will be par plus the gain of the worst performing component.
If any component falls by up to 35%, the payout will be par.
Otherwise, investors will lose 1.53846% for each 1% decline of the worst performing component beyond 35%.
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: | Autocallable buffered equity notes
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| Underlying asset: | Euro Stoxx 50 index, Russell 2000 index and iShares MSCI Emerging Markets ETF
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| Amount: | $1.5 million
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| Maturity: | Feb. 2, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each component gains, par plus return of worst performing component; if any component falls by up to 35%, par; otherwise, 1.53846% loss for each 1% loss of worst performing component beyond 35%
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| Call: | At par plus 14.3% per year if each asset closes above initial level on any annual review date other than final date
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| Initial levels: | 3,606.75 for Stoxx, 1,582.817 for Russell and $50.59 for EM fund
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| Barrier levels: | 65% of initial levels
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| Pricing date: | Jan. 30
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| Settlement date: | Feb. 2
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48129HZL4
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