By William Gullotti
Buffalo, N.Y., April 19 – JPMorgan Chase Financial Co. LLC priced $5 million of autocallable contingent interest notes due April 10, 2034 linked to the MerQube US Small-Cap Vol Advantage index, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a contingent quarterly coupon depending upon the index’s closing level on the related valuation date. The coupon will be paid at the lower rate, 6% per year, if the index closes at or above its 50% trigger level on the valuation date. If the index closes at or above its 107% upper threshold on the valuation date, investors will receive the higher rate, 10% per year, in addition to the 6% per year lower rate.
Previously unpaid coupons will be automatically included whenever a coupon is paid, which will also include the difference between the coupons paid for dates where the lower coupon was paid and the higher coupon becomes payable.
The notes will be called automatically at par plus the coupon if the index closes at or above its upper threshold on any quarterly review date starting April 5, 2027.
At maturity, the payout will be par plus the relevant coupon unless the index finishes below its trigger level, in which case investors will be fully exposed to the decline of the index.
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 contingent interest notes
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| Underlying index: | MerQube US Small-Cap Vol Advantage index
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| Amount: | $5 million
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| Maturity: | April 10, 2034
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| Coupon: | 6% or 16%, paid quarterly depending upon the index’s closing level on that valuation date; if the index closes at or above the trigger level but less than the upper threshold, the lower coupon (6%) will be paid; if the index closes at or above the upper threshold, the higher coupon (10%) will be paid in addition to the lower coupon; coupon payment events will automatically include any previously unpaid coupons in each case, with the difference between the two coupons paid in the case a higher coupon follows a lower one
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| Price: | Par
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| Payout at maturity: | Par plus relevant final coupon unless the index finishes below its trigger level, in which case investors will be fully exposed to the decline in the index
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| Call: | Automatically at par plus the coupon if the index closes at or above its upper threshold on any quarterly review date starting April 5, 2027
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| Initial level: | 779.95
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| Trigger level: | 389.975; 50% of initial level
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| Upper threshold: | 834.5465; 107% of initial level
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| Strike date: | April 5
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| Pricing date: | April 9
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| Settlement date: | April 11
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 5%
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| Cusip: | 48134XXL4
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