New Issue: JPMorgan sells $1 million capped enhanced notes on 49 consumer recovery stocks

By Marisa Wong

Los Angeles, May 3 – JPMorgan Chase Financial Co. LLC priced $1 million of 0% capped return enhanced notes due Oct. 12, 2022 linked to the J.P. Morgan consumer recovery basket of 49 unequally weighted stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The basket is comprised of the stocks of 49 U.S.-listed companies that may benefit from a positive performance of the consumer discretionary sector during the term of the notes.

The reference stocks are Gap, Inc. with a 2.55536% weight, United Airlines Holdings, Inc. with a 2.54124% weight, L Brands, Inc. with a 2.50192% weight, Dave & Buster’s Entertainment, Inc. with a 2.41919% weight, Whirlpool Corp. with a 2.33187% weight, Southwest Airlines Co. with a 2.33168% weight, PulteGroup, Inc. with a 2.32413% weight, Alaska Air Group, Inc. with a 2.29240% weight, Royal Caribbean Cruises Ltd. with a 2.27986% weight, Newell Brands Inc. with a 2.26191% weight, MGM Resorts International with a 2.23883% weight, Fortune Brands Home & Security, Inc. with a 2.23665% weight, Burlington Stores, Inc. with a 2.23299% weight, American Express Co. with a 2.22333% weight, Expedia Group, Inc. with a 2.21811% weight, Caesars Entertainment, Inc. with a 2.21709% weight, Advance Auto Parts, Inc. with a 2.19316% weight, General Motors Co. with a 2.18970% weight, Delta Air Lines, Inc. with a 2.17417% weight, Norwegian Cruise Line Holdings Ltd. with a 2.17364% weight, Restaurant Brands International Inc. with a 2.13921% weight, Tapestry, Inc. with a 2.13416% weight, Lithia Motors, Inc. with a 2.12415% weight, MasterCard Inc. with a 2.12106% weight, Wynn Resorts, Ltd. with a 2.11170% weight, Ford Motor Co. with a 2.10397% weight, Las Vegas Sands Corp. with a 2.09852% weight, Booking Holdings Inc. with a 2.08330% weight, Target Corp. with a 2.07215% weight, McDonald’s Corp. with a 2.06574% weight, Starbucks Corp. with a 2.05905% weight, Visa Inc. with a 2.04692% weight, Coca-Cola Co. with a 2.04376% weight, Walt Disney Co. with a 2.04050% weight, Nordstrom, Inc. with a 2.01663% weight, Constellation Brands, Inc. with a 2.00609% weight, Five Below, Inc. with a 2.00567% weight, Ross Stores, Inc. with a 1.98097% weight, Dollar General Corp. with a 1.97185% weight, Best Buy Co., Inc. with a 1.95911% weight, Ulta Beauty, Inc. with a 1.94289% weight, Uber Technologies, Inc. with a 1.92915% weight, TJX Cos., Inc. with a 1.90891% weight, lululemon athletica inc. with a 1.76625% weight, MGM Growth Properties LLC with a 1.23418% weight, American Axle & Manufacturing Holdings with a 1.20350% weight, Cedar Fair, LP with a 1.05037% weight, Hostess Brands, Inc. with a 1.03335% weight and Reynolds Consumer Products Inc. with a 0.80971% weight.

The payout at maturity will be par plus 2 times any basket gain, capped at par plus 18.9%. Investors will be fully exposed to any basket decline.

The agent is J.P. Morgan Securities LLC.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped return enhanced notes
Underlying basket:	Gap, Inc. (NYSE: GPS) with a 2.55536% weight, United Airlines Holdings, Inc. (Nasdaq: UAL) with a 2.54124% weight, L Brands, Inc. (NYSE: LB) with a 2.50192% weight, Dave & Buster’s Entertainment, Inc. (Nasdaq: PLAY) with a 2.41919% weight, Whirlpool Corp. (NYSE Chicago and NYSE: WHR) with a 2.33187% weight, Southwest Airlines Co. (NYSE: LUV) with a 2.33168% weight, PulteGroup, Inc. (NYSE: PHM) with a 2.32413% weight, Alaska Air Group, Inc. (NYSE: ALK) with a 2.29240% weight, Royal Caribbean Cruises Ltd. (NYSE: RCL) with a 2.27986% weight, Newell Brands Inc. (Nasdaq: NWL) with a 2.26191% weight, MGM Resorts International (NYSE: MGM) with a 2.23883% weight, Fortune Brands Home & Security, Inc. (NYSE: FBHS) with a 2.23665% weight, Burlington Stores, Inc. (NYSE: BURL) with a 2.23299% weight, American Express Co. (NYSE: AXP) with a 2.22333% weight, Expedia Group, Inc. (Nasdaq: EXPE) with a 2.21811% weight, Caesars Entertainment, Inc. (Nasdaq: CZR) with a 2.21709% weight, Advance Auto Parts, Inc. (NYSE: AAP) with a 2.19316% weight, General Motors Co. (NYSE: GM) with a 2.18970% weight, Delta Air Lines, Inc. (NYSE: DAL) with a 2.17417% weight, Norwegian Cruise Line Holdings Ltd. (NYSE: NCLH) with a 2.17364% weight, Restaurant Brands International Inc. (NYSE: QSR) with a 2.13921% weight, Tapestry, Inc. (NYSE: TPR) with a 2.13416% weight, Lithia Motors, Inc. (NYSE: LAD) with a 2.12415% weight, MasterCard Inc. (NYSE: MA) with a 2.12106% weight, Wynn Resorts, Ltd. (Nasdaq: WYNN) with a 2.11170% weight, Ford Motor Co. (NYSE: F) with a 2.10397% weight, Las Vegas Sands Corp. (NYSE: LVS) with a 2.09852% weight, Booking Holdings Inc. (Nasdaq: BKNG) with a 2.08330% weight, Target Corp. (NYSE: TGT) with a 2.07215% weight, McDonald’s Corp. (NYSE: MCD) with a 2.06574% weight, Starbucks Corp. (Nasdaq: SBUX) with a 2.05905% weight, Visa Inc. (NYSE: V) with a 2.04692% weight, Coca-Cola Co. (NYSE: KO) with a 2.04376% weight, Walt Disney Co. (NYSE: DIS) with a 2.04050% weight, Nordstrom, Inc. (NYSE: JWN) with a 2.01663% weight, Constellation Brands, Inc. (NYSE: STZ) with a 2.00609% weight, Five Below, Inc. (Nasdaq: FIVE) with a 2.00567% weight, Ross Stores, Inc. (Nasdaq: ROST) with a 1.98097% weight, Dollar General Corp. (NYSE: DG) with a 1.97185% weight, Best Buy Co., Inc. (NYSE: BBY) with a 1.95911% weight, Ulta Beauty, Inc. (Nasdaq: ULTA) with a 1.94289% weight, Uber Technologies, Inc. (NYSE: UBER) with a 1.92915% weight, TJX Cos., Inc. (NYSE: TJX) with a 1.90891% weight, lululemon athletica inc. (Nasdaq: LULU) with a 1.76625% weight, MGM Growth Properties LLC (NYSE: MGP) with a 1.23418% weight, American Axle & Manufacturing Holdings (NYSE: AXL) with a 1.20350% weight, Cedar Fair, LP (NYSE: FUN) with a 1.05037% weight, Hostess Brands, Inc. (Nasdaq: TWNK) with a 1.03335% weight, Reynolds Consumer Products Inc. (Nasdaq: REYN) with a 0.80971% weight
Amount:	$1 million
Maturity:	Oct. 12, 2022
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	Par plus 2 times any basket gain, capped at par plus 18.9%; full exposure to losses
Initial share price:	$30.76 for Gap, $59.48 for United, $62.04 for L, $44.78 for Dave, $234.37 for Whirlpool, $64.10 for Southwest, $53.99 for Pulte, $73.74 for Alaska, $90.76 for Royal, $27.09 for Newell, $41.52 for MGM Resorts, $98.55 for Fortune, $305.49 or Burlington, $146.15 for Amex, $174.70 for Expedia, $92.50 for Caesars, $183.65 for Advance, $61.94 for GM, $51.65 for Delta, $31.08 for Norwegian, $65.86 for Restaurant, $42.86 for Tapestry, $382.68 for Lithia, $369.57 for MasterCard, $136.37 for Wynn, $12.92 or Ford, $63.61 for Sands, $2,422.00 for Booking, $205.43 for Target, $231.91 for McDonald’s, $113.15 for Starbucks, $218.65 for Visa, $53.19 for Coca-Cola, $189.73 for Disney, $37.23 for Nordstrom, $236.30 for Constellation, $197.43 for Five, $123.50 for Ross, $205.63 for Dollar, $120.74 for Best Buy, $315.47 for Ulta, $58.05 for Uber, $67.64 for TJX, $308.52 for lululemon, $34.51 for MGM Growth, $9.81 for American Axle, $49.09 for Cedar, $14.74 for Hostess, $30.34 for Reynolds
Final share price:	Average of closing share prices for each of five trading days ending Oct. 6, 2022
Pricing date:	April 7
Settlement date:	April 12
Agent:	J.P. Morgan Securities LLC
Fees:	1.25%
Cusip:	48132TTH9

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