By Susanna Moon
Chicago, Jan. 3 – JPMorgan Chase Financial Co. LLC priced $813,000 of 0% buffered return enhanced notes due Dec. 27, 2022 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes above its 121% upside leverage threshold, the payout at maturity will be par plus the contingent minimum return of 21% and 1.1 times the gain of the worse performing index over the contingent minimum return.
If each index gains by no more than 21%, the payout will be par plus 21%.
If either index falls by up to 30%, the payout will be par.
Otherwise, investors will be exposed to any losses of the worse performing index beyond the buffer.
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: | Uncapped buffered return enhanced notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $813,000
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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 by up to 21%, par plus 21% and 1.1 times return of worse performing index over 21%; if each index gains by no more than 21%, par plus 21%; if either index falls by up to 30%, par; otherwise, 1% loss per 1% drop of worse performing index beyond 30%
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| Initial index levels: | 1,543.937 for Russell and 2,682.62 for S&P
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| Upside threshold: | 3,245.9702 for S&P and 1,868.16377 for Russell, 121% of initial levels
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| Pricing date: | Dec. 27
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| Settlement date: | Jan. 2
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.74354%
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| Cusip: | 48129HTA5
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