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Published on 5/15/2022 in the Prospect News Structured Products Daily.

New Issue: JPMorgan prices $1.12 million autocallable barrier notes linked to S&P, gold ETF

By Kiku Steinfeld

Chicago, May 16 – JPMorgan Chase Financial Co. LLC priced $1.12 million of 0% autocallable barrier notes due Oct. 3, 2024 linked to the S&P 500 Index and VanEck Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission.

If the worst performing asset gains, the payout will be par plus the worst performing asset return. Investors will receive par if the worst performing asset declines but ends at or above its 60% barrier, and they will lose 1% for every 1% that the worst performing asset declines if it finishes below the barrier level.

Starting March 30, 2022, the notes will be called automatically at par plus 16.26% per year if each underlier closes at or above its initial level on any quarterly review date.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

Issuer:JPMorgan Chase Financial Co. LLC
Guarantor:JPMorgan Chase & Co.
Issue:Autocallable barrier notes
Underlying assets:S&P 500 Index and VanEck Vectors Gold Miners ETF
Amount:$1,118,000
Maturity:Oct. 3, 2024
Coupon:0%
Price:Par
Payout at maturity:If worst performing asset finishes at or above its initial value, par plus worst performing asset return; if worst performing asset declines but finishes at or above its downside threshold level, par; 1% loss for every 1% that worst performing asset declines if it finishes below its downside threshold level
Initial level:4,307.54 for index, $29.47 for ETF
Downside threshold:2,584.524 for index, $17.682 for ETF, 60% of initial level
Call:Starting March 30, 2022, automatically at par plus 16.26% per year if each underlier closes at or above its initial level on any quarterly review date
Pricing date:Sept. 30, 2021
Settlement date:Oct. 5, 2021
Agent:J.P. Morgan Securities LLC
Fees:0.9%
Cusip:48132W2F5

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