By Susanna Moon
Chicago, June 2 – JPMorgan Chase Financial Co. LLC priced $146,000 of 0% step-up autocallable contingent buffered equity notes due May 28, 2027 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual premium of 8.5% if each index closes at or above its call level on any annual review date other than the final date. The call level will be 102.5% of its initial level, stepping up by 2.5% on each subsequent review date, up to a final level of 122.5% of its initial level on the ninth review date.
If each index finishes at or above its initial level, the payout at maturity will be par plus double the gain of the worse performing index.
If either index falls by up to 50%, the payout will be par.
If either index falls by more than the contingent buffer, investors will be fully exposed to the decline of the worse performing index.
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: | Step-up autocallable contingent buffered equity notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $146,000
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| Maturity: | May 28, 2027
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| Coupon: | 0%
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| Price: | Par
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| Call: | At par plus an annual premium of 8.5% if each index closes at or above its call level on any annual review date other than the final date
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| Call levels: | 102.5% of its initial level, stepping up by 2.5% on each subsequent review date, up to a final level of 122.5% of its initial level on the ninth review date
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| Payout at maturity: | If each index gains, par plus double the gain of the worse performing index; if either index falls by up to 50%, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Initial levels: | 2,415.07 for S&P and 1,383.388 for Russell
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| Contingent buffer: | 50%
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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: | 4.25%
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| Cusip: | 46646Q6Q3
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