Published on 1/3/2024 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.72 million autocallable accelerated barrier notes on three indexes
New York, Jan. 3 – JPMorgan Chase Financial Co. LLC priced $1.72 million of 0% autocallable accelerated barrier notes due Dec. 24, 2026 linked to the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically at a premium of 11% if the worst performing index closes at or above its initial value on Dec. 31, 2024.
If the worst performing index gains, the payout at maturity will be par plus 140% of that index’s return.
Investors will receive par if the worst performing index declines but ends at or above its 70% barrier and will lose 1% for every 1% that the worst performing index 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 accelerated barrier notes
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| Underlying indexes: | Dow Jones industrial average, Russell 2000 index and S&P 500 index
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| Amount: | $1,719,000
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| Maturity: | Dec. 24, 2026
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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 140% of that index’s 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 at a premium of 11% if the worst performing index closes at or above its initial value on Dec. 31, 2024
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| Initial level: | 37,404.35 for Dow Jones industrial average, 2,017.065 for Russell 2000, 4,746.75 for S&P 500
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| Upside leverage: | 140%
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| Downside threshold: | 26,183.045 for Dow Jones industrial average, 1,411.9455 for Russell 2000, 3,322.725 for S&P 500, 70% of initial levels
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| Pricing date: | Dec. 21
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| Settlement date: | Dec. 27
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.35%
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| Cusip: | 48134RYR3
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