By William Gullotti
Buffalo, N.Y., Jan. 25 – JPMorgan Chase Financial Co. LLC priced $5 million of autocallable contingent interest and contingent leveraged notes due Jan. 12, 2026 linked to the S&P 500 Low Volatility High Dividend index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent monthly coupon at an annual rate of 9.1% if the index has not closed below the 95% trigger value on any day during the life of the notes. If the index closes below the 95% trigger value on any trading day (trigger event 1), the annual coupon rate will decrease to 6.06667% for that subsequent review date and for the remaining life of the notes. If the index closes below the 90% trigger value on any trading day (trigger event 2), the annual coupon rate will decrease to 3.03333% for that subsequent review date and for the remaining life of the notes.
If the index closes below the 85% trigger value on any trading day (trigger event 3), no coupon will be payable for that review period or for the remaining life of the notes.
If a trigger event has not occurred, the notes will be called at par plus a final coupon on Jan. 9, 2023.
If the notes are not called, the payment at maturity will be based upon which trigger events have occurred during the life of the notes.
If only a trigger event 1 has occurred, the payment at maturity will be the sum of (a) two thirds of par (b) one third of the quantity of par plus 1.05263 times the index return plus 5%. The most investors may lose if only a trigger event 1 has occurred is approximately 1.75438%.
If a trigger event 2 has occurred, the payment at maturity will be the sum of (a) one third of par (b) one third of the quantity of par plus 1.05263 times the index return plus 5% (c) one third of the quantity of par plus 1.11111 times the index return plus 10%. The most investors may lose if only a trigger event 2 has occurred is approximately 5.36062%.
If a trigger event 3 has occurred, the payment at maturity will be the sum of (a) one third of the quantity of par plus 1.05263 times the index return plus 5% (b) one third of the quantity of par plus 1.11111 times the index return plus 10% (c) one third of the quantity of par plus 1.17647 times the index return plus 15%. In this case, investors will be fully exposed to loss if the index finishes below approximately 89.81462% of its initial value.
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 contingent interest and contingent leveraged notes
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| Underlying index: | S&P 500 Low Volatility High Dividend index
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| Amount: | $5 million
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| Maturity: | Jan. 12, 2026
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| Coupon: | 9.1% per year, payable monthly unless index closes below trigger value 1 on any trading day, in which case the coupon rate decreases to 6.06667% for that review date and all subsequent review dates; if the index closes below trigger value 2 on any trading day, the coupon rate decreases to 3.03333% for that review date and all subsequent review dates; if the index closes below trigger value 3 on any trading day, no coupon will be paid for that review date or any subsequent review date until maturity
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| Price: | Par
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| Payout at maturity: | Payment at maturity will be based upon which trigger events have occurred during the life of the notes; if only trigger event 1 has occurred, the payment at maturity will be the sum of (a) two thirds of par (b) one third of the quantity of par plus 1.05263 times the index return plus 5%; if a trigger event 2 has occurred, the payment at maturity will be the sum of (a) one third of par (b) one third of the quantity of par plus 1.05263 times the index return plus 5% (c) one third of the quantity of par plus 1.11111 times the index return plus 10%; if a trigger event 3 has occurred, the payment at maturity will be the sum of (a) one third of the quantity of par plus 1.05263 times the index return plus 5% (b) one third of the quantity of par plus 1.11111 times the index return plus 10% (c) one third of the quantity of par plus 1.17647 times the index return plus 15%.
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| Call: | Automatically at par plus contingent coupon on Jan. 9, 2023 if index has never closed below 95% of initial level on any day during life of notes
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| Initial index level: | 7,655.89
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| Trigger value 1: | 7,273.0955; 95% of initial level
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| Trigger value 2: | 6,890.301; 90% of initial level
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| Trigger value 3: | 6,507.5065; 85% of initial level
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| Pricing date: | Jan. 7
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| Settlement date: | Jan. 12
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 48133CHV7
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