Published on 5/27/2022 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.72 million autocallable barrier notes on indexes, ETF
New York, May 27 – JPMorgan Chase Financial Co. LLC priced $1.72 million of 0% autocallable barrier notes due May 25, 2027 linked to the SPDR S&P 500 ETF Trust, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically on any annual review date at a premium of 12% per year if the worst performing asset closes at or above its initial value.
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 lose 1% for every 1% that the worst performing asset declines if it finishes below the barrier 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: | Autocallable barrier notes
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| Underlying assets: | SPDR S&P 500 ETF Trust, Russell 2000 index and Nasdaq-100 index
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| Amount: | $1,716,000
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| Maturity: | May 25, 2027
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| Coupon: | 0%
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| Price: | Par
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| 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; otherwise, 1% loss for every 1% decline of the worst performer from initial level
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| Call: | Automatically on any annual review date at a premium of 12% per year if the worst performing asset closes at or above its initial value on the determination date
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| Initial level: | 11,835.62 for Nasdaq, 1,773.266 for Russell, $389.63 for ETF
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| Downside threshold: | 7,101.372 for Nasdaq, 1,063.9596 for Russell, $233.778 for ETF, 60% of initial level
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| Pricing date: | May 20
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| Settlement date: | May 25
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.125%
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| Cusip: | 48133GEU3
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