Published on 6/1/2022 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.77 million autocallable accelerated barrier notes on three indexes
New York, June 1 – JPMorgan Chase Financial Co. LLC priced $2.77 million of 0% autocallable accelerated barrier notes due May 30, 2025 linked to the S&P 500 index, 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 May 30, 2023 at a premium of 17% if the worst performing index closes at or above its initial value.
If the worst performing index gains, the payout will be par plus 150% of that index’s return.
Investors will receive par if the worst performing index declines but ends at or above its 70% barrier. Otherwise, investors will lose 1% for every 1% that the worst performing index declines from initial 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 accelerated barrier notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
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| Amount: | $2,772,000
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| Maturity: | May 30, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing index finishes at or above its initial value, par plus 150% of that index return; if worst performing index declines but finishes at or above its downside threshold level, par; otherwise, 1% loss for every 1% that worst performing index declines from initial level
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| Call: | Automatically on May 30, 2023 at a premium of 17% if the worst performing index closes at or above its initial value
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| Initial level: | 11,943.93 for Nasdaq-100, 1,799.164 for Russell 2000, 3,978.73 for S&P 500
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| Upside leverage: | 150%
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| Downside threshold: | 8,360.751 for Nasdaq-100, 1,259.4148 for Russell 2000, 2,785.111 for S&P 500, 70% of initial level
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| Pricing date: | May 25
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| Settlement date: | May 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.9926%
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| Cusip: | 48133F5E1
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