Published on 4/4/2024 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.29 million autocallable accelerated barrier notes on three indexes
New York, April 4 – JPMorgan Chase Financial Co. LLC priced $1.29 million of 0% autocallable accelerated barrier notes due March 31, 2027 linked to the Nasdaq-100 index, 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 automatically at a premium of 11.85% per year if the worst performing index closes at or above its initial value on any annual observation date.
If the worst performing index gains, the payout will be par plus 150% of that index’s return.
Investors will receive par if the worst performing index declines but ends at or above its 70% barrier and will lose 1% for every 1% that the worst performing index declines if it finishes below the barrier level.
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 accelerated barrier notes
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index and S&P 500 index
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| Amount: | $1,292,000
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| Maturity: | March 31, 2027
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing index finishes at or above its initial value, par plus 150% of that index’s return; if worst performing index declines but finishes at or above its downside threshold level, par; otherwise, 1% loss for every 1% that worst performing index declines from initial level
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| Call: | Automatically at a premium of 11.85% per year if the worst performing index closes at or above its initial value on any annual observation date
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| Initial levels: | 18,277.06 for Nasdaq-100, 2,074.163 for Russell 2000, 5,218.19 for S&P 500
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| Upside leverage: | 150%
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| Downside thresholds: | 12,793.942 for Nasdaq-100, 1,451.9141 for Russell 2000, 3,652.733 for S&P 500, 70% of initial levels
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| Pricing date: | March 25
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| Settlement date: | March 28
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3%
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| Cusip: | 48134WYC5
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