By Susanna Moon
Chicago, March 15 – JPMorgan Chase Financial Co. LLC priced $2 million of 0% step-up autocallable contingent buffered return enhanced notes due March 5, 2025 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 8.8% if each index closes above its call level on any annual review date other than the final date. The call level will be 102.5% of the initial level on the first review date, stepping up by 250 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 by up to the 40% 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 Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Step-up autocallable contingent buffered return enhanced notes
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| Underlying indexes: | Russell 2000, S&P 500
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| Amount: | $2 million
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| Maturity: | March 5, 2025
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| Coupon: | 0%
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| Price: | Par
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| Call: | At par plus 8.8% per year if each index closes at or above call level on annual review date; call level is 102.5% of initial level on first review date, stepping up by 250 bps each year to final level of 115% on sixth review date
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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 40%, par; otherwise, 1% loss for each 1% decline of worse performing index
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| Initial levels: | 1,512.446 for Russell and 2,713.83 for S&P
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| Contingent buffer: | 40%
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| Pricing date: | Feb. 28
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| Settlement date: | March 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.6%
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| Cusip: | 48129HW94
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