By Wendy Van Sickle
Columbus, Ohio, Aug. 23 – JPMorgan Chase Financial Co. LLC priced $4.23 million of 0% step down trigger autocallable notes due Aug. 24, 2022 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 are guaranteed by JPMorgan Chase & Co.
The notes will be automatically called at par of $10 plus 7.55% per year if each index closes at or above its call threshold level on any annual observation date. For each index, the call threshold level will be equal to the initial index level for the first four observation dates and 70% of the initial index level for the final observation date, Aug. 18, 2022.
If the notes are not subject to an automatic call, that means the final level of at least one index will be less than its downside threshold, 70% of its initial level, and investors will be exposed to the decline of the lesser-performing index from its initial level.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Step down trigger autocallable notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $4,232,000
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| Maturity: | Aug. 24, 2022
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Full exposure to decline of lesser-performing index from initial level
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| Call: | At par plus 7.55% per year if each index closes at or above its call threshold level on any annual observation date
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| Initial index levels: | 1,357.793 for Russell and 2,425.55 for S&P 500
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| Downside thresholds: | 1,018.345 for Russell and 1,819.16 for S&P 500; 75% of initial levels
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| Call threshold levels: | Equal to initial index levels for first four annual observation dates and equal to downside thresholds for Aug. 18, 2022
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| Pricing date: | Aug. 18
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| Settlement date: | Aug. 23
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 2.5%
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| Cusip: | 48129J863
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