By Susanna Moon
Chicago, July 11 – JPMorgan Chase Financial Co. LLC priced $365,000 of step-up autocallable contingent buffered return enhanced notes due July 1, 2027 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 8.5% if each index closes at or above its call level on an annual review date. The call level will be 102.5% of the initial level on the first review date and will step up by 2.5% on each subsequent observation date to 122.5% on the ninth review date.
If the notes are not called, the payout at maturity will be par plus double any gain of the worse performing index.
Investors will receive par if each index falls by no more than 50% and will be fully exposed to any losses of the worse performing index if it falls by more than the contingent 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: | Step-up autocallable contingent buffered return enhanced notes
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| Underlying indexes: | Russell 2000 index and S&P 500 index
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| Amount: | $365,000
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| Maturity: | July 1, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If notes are not called, par plus 2 times any gain of worse performing index; par if each index falls by up to 50%, full exposure to decline of worse performing index if it falls by more than 50%
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| Call: | At par plus 8.5% per year if each index closes at or above its call level on an annual review date; call level will be 102.5% of the initial level on the first review date and will step up by 2.5% per year to 122.5% on the ninth review date
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| Initial levels: | 1,403.522 for Russell 2000 and 2,419.38 for S&P 500
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| Contingent buffer: | 50% of initial levels
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| Pricing date: | June 27
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| Settlement date: | June 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.25%
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| Cusip: | 46647MFY4
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