By Angela McDaniels
Tacoma, Wash., Feb. 22 – JPMorgan Chase Financial Co. LLC priced $2.2 million of 0% autocallable capped dual directional notes due Dec. 27, 2024 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the closing index level is less 80% of the initial index level on any day from but excluding June 30, 2023 to and including Dec. 23, 2024.
If a knock-out event occurs, the notes will be automatically called at par.
If a knock-out event has not occurred and the final index level is greater than the initial index level, the payout at maturity will be par plus 1.5 times the index return, subject to a maximum upside return of 9.6%.
If a knock-out event has not occurred and the final index level is less than or equal to the initial index level, the payout will be par plus the absolute value of the index return.
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: | autocallable capped dual directional notes
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| Underlying index: | S&P 500 index
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| Amount: | $2.2 million
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| Maturity: | Dec. 27, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If knock-out event has not occurred and final index level is greater than initial index level, par plus 1.5 times index return, subject to maximum upside return of 9.6%; if knock-out event has not occurred and final index level is less than or equal to initial index level, par plus absolute value of index return
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| Call: | Automatically at par if knock-out event occurs
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| Knock-out event: | Closing index level is less 80% of initial index level on any day from but excluding June 30, 2023 to and including Dec. 23, 2024
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| Initial level: | 4,348.33
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| Strike date: | June 23, 2023
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| Pricing date: | June 27, 2023
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| Settlement date: | June 30, 2023
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.3%
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| Cusip: | 48133XL87
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