By Kiku Steinfeld
Chicago, April 23 – JPMorgan Chase Financial Co. LLC priced $5.22 million of 0% capped accelerated barrier notes, with potential barrier adjustment, due April 7, 2026 linked to the lesser performing of the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If each index finishes above its initial level, the payout at maturity will be par plus 1.5 times the gain of the lesser performing index, subject to a maximum payout of $1,450 per $1,000 principal amount.
If either index falls but neither falls below the barrier level, the payout will be par. Otherwise, investors will be fully exposed to the decline of the lesser performing index from its initial level.
The barrier level is the initial level times the sum of 60% and the barrier adjustment. The barrier adjustment is the highest of the index returns of the lesser performing index with respect to the barrier review dates, provided that the barrier adjustment will not be less than 0% or greater than 20%. As a result, the barrier level will be at least 60% and may be as much as 80% of the initial level.
The barrier review dates are the four annual observation dates prior to the final observation date.
The agent is J.P. Morgan Securities LLC.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Capped accelerated barrier notes with potential barrier adjustment
|
| Underlying indexes: | S&P 500 index and Nasdaq-100 index
|
| Amount: | $5,221,000
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| Maturity: | April 7, 2026
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 1.5 times any gain in the lesser performing index, capped at par plus 45%; if either index falls but neither finishes below the barrier level, par; otherwise, full exposure to the decline of the lesser performing index from its initial level
|
| Initial level: | 4,019.87 for S&P and 13,329.51 for Nasdaq
|
| Barrier level: | Initial level times the sum of 60% and the barrier adjustment
|
| Barrier adjustment: | Highest of the index returns of the lesser performing index with respect to the barrier review dates, provided that the barrier adjustment will not be less than 0% or greater than 20%
|
| Barrier review dates: | April 1, 2022, April 3, 2023, April 1, 2024 and April 1, 2025
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| Pricing date: | April 1
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| Settlement date: | April 7
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.5%
|
| Cusip: | 48132TKU9
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