By Susanna Moon
Chicago, Jan. 2 – JPMorgan Chase Financial Co. LLC priced $1.89 million 0% step-up autocallable contingent buffered return enhanced notes due Dec. 30, 2022 linked to the least performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 10.5% if each index closes above its call level on any annual review date other than the final date. The call level will be 102% of the initial level on the first review date, stepping up by 200 basis points on each subsequent review date.
If each index finishes above its initial level, the payout at maturity will be par plus 1.5 times the gain of the worse performing index.
If either index falls but by no more than the 50% contingent buffer, the payout will be par.
Otherwise, investors will be fully exposed to any losses of the worse performing index.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Step-up autocallable contingent buffered return enhanced notes
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| Underlying indexes: | Russell 2000 and Euro Stoxx 50
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| Amount: | $1,888,000
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| Maturity: | Dec. 30, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index gains, par plus 1.5 times return of worse performing index; if either index falls by up to 50%, par; otherwise, par plus return, with full exposure to any losses
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| Call: | At par plus 10.5% per year if each index closes at or above call level on annual review date; call level is 102% of initial level on first review date, stepping up by 200 bps each year to final level of 108% on the forth review date
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| Initial index levels: | 1,547.107 for Russell and 3,570.78 for Stoxx
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| Contingent buffer: | 50%
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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: | 3.59686%
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| Cusip: | 48129HQU4
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