Chicago, April 26 – JPMorgan Chase Financial Co. LLC priced $525,000 of autocallable contingent interest notes due May 30, 2025 linked to the lesser performing of the SPDR S&P 500 ETF Trust and iShares Russell 2000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a coupon of 6.25%, paid monthly, if each underlying fund closes at or above its 80% downside threshold on the related monthly observation date.
The securities will be called automatically at par starting May 25, 2023 if the price of each underlying fund is greater than or equal to its initial price and on any subsequent monthly review date.
At maturity the payout will be par unless the worst performing ETF declines by more than its 20% buffer in which case investors will be exposed to the decline of the worst performing ETF beyond the buffer.
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 contingent interest notes
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| Underlying ETFs: | SPDR S&P 500 ETF Trust and iShares Russell 2000 Value ETF
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| Amount: | $525,000
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| Maturity: | May 30, 2025
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| Coupon: | 6.25% annual rate, paid monthly, if each underlying fund closes at or above its 80% downside threshold on the related monthly observation date
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| Price: | Par
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| Payout at maturity: | Par unless the worst performing ETF declines by more than its buffer in which case investors will be exposed to the decline in the worst performing ETF beyond the buffer
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| Call: | Automatically at par starting May 25, 2023 if the price of each underlying fund is greater than or equal to its initial price and on any subsequent monthly review date
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| Initial levels: | $397.37 for S&P ETF, $147.08 for Russell ETF
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| Downside threshold levels: | $317.896 for S&P ETF, $117.664 for Russell ETF; 80% of initial levels
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| Buffer levels: | $317.896 for S&P ETF, $117.664 for Russell ETF; 80% of initial levels
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| Buffer: | 20%
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| Pricing date: | May 25, 2022
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| Settlement date: | May 31, 2022
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.75%
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| Cusip: | 48133GKD4
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