Published on 11/30/2022 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.83 million uncapped digital accelerated barrier notes on three indexes
By William Gullotti
Buffalo, N.Y., Nov. 30 – JPMorgan Chase Financial Co. LLC priced $1.83 million of 0% uncapped digital accelerated barrier notes due Nov. 26, 2027 linked to the performance of the Nasdaq-100 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the least performing index finishes above its 130% upside threshold, the payout at maturity will be par plus 30% plus 1.81 times the gain of that index above 30%.
If the least performing index finishes flat or gains up to its upper threshold, the payout will be par plus 30%.
If the worst performer declines but finishes at or above its 70% lower threshold, the payout will be par plus 20%.
If the worst performer declines beyond 30% but finishes at or above its 60% barrier level, the payout will be par. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.
The notes are guaranteed by JPMorgan Chase & Co.
The agent is J.P. Morgan Securities LLC.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Uncapped digital accelerated barrier notes
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| Underlying indexes: | Nasdaq-100 index, S&P 500 index, Russell 2000 index
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| Amount: | $1,833,000
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| Maturity: | Nov. 26, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performer finishes above upper threshold, par plus 30% plus 1.81 times the gain of the worst performer above 30%; if worst performer finishes flat or gains up to upper threshold, par plus 30%; if worst performer declines no more than 30%, par plus 20%; if worst performer finishes below lower threshold but at or above barrier level, par; otherwise, full exposure to decline of worst performer from initial level
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| Initial levels: | 11,724.84 for Nasdaq, 4,003.58 for S&P, 1,860.441 for Russell
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| Upside thresholds: | 15,242.292 for Nasdaq, 5,204.654 for S&P, 2,418.5733 for Russell; 130% of initial levels
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| Lower thresholds: | 8,207.388 for Nasdaq, 2,802.506 for S&P, 1,302.3087 for Russell; 70% of initial levels
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| Barrier levels: | 7,034.904 for Nasdaq, 2,402.148 for S&P, 1,116.2646 for Russell; 60% of initial levels
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| Pricing date: | Nov. 22
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| Settlement date: | Nov. 28
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.5%
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| Cusip: | 48133PSJ3
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