By William Gullotti
Buffalo, N.Y., Aug. 17 – JPMorgan Chase Financial Co. LLC priced $1.64 million of 0% capped accelerated barrier notes with potential barrier adjustment due Aug. 10, 2026 linked to the least 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 at or above its initial level, the payout at maturity will be par plus 1.26 times the return of the worst performing index, subject to a maximum payout of par plus 45%.
If any index falls, but each index finishes at or above its barrier level, the payout will be par.
If any index finishes below its barrier level, investors will be fully exposed to the decline of the least performing index from its initial level.
The barrier will be between 60% and 80% of the initial level.
The barrier will be 60% if it is not adjusted.
The barrier would be adjusted based on the performance of the worst-performing index on any of the annual barrier review dates and the final review date (which could be either index on each of the different barrier review dates, i.e., the S&P 500 on one date and the Nasdaq on the next). If the worst performer finishes above its initial level on any of those dates, the barrier will be adjusted up the percentage the worst performer has increased on any of those dates, subject to a cap of 20%. So, if the best the worst performer does on any of those dates is to finish above its initial level, 10% above its initial level, the barrier would be moved up 10% to 70% for the final payout at maturity. If the worst performer finishes 30% above its initial level on any annual barrier adjustment date, the cap would be reached and the barrier would only be adjusted an extra 20%, to 80%. If the worst performer does not finish above its initial level on any of those dates, the barrier stays at 60%.
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, Nasdaq-100 index
|
| Amount: | $1,644,000
|
| Maturity: | Aug. 10, 2026
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above its initial level, par plus 1.26 times the return of the worst performing index, up to par plus 45%; if any index falls but each index finishes at or above its barrier level, par; otherwise, investors will be fully exposed to the decline of the worst performing index from its initial level
|
| Initial index levels: | 4,429.1 for S&P, 15,181.64 for Nasdaq
|
| Barrier levels: | 60% – 80% of initial levels, determined by annual review based on the return of the lesser performing index
|
| Pricing date: | Aug. 5
|
| Settlement date: | Aug. 10
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.5%
|
| Cusip: | 48132UJ87
|
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