By Marisa Wong
Los Angeles, Jan. 4 – JPMorgan Chase Financial Co. LLC priced $23.39 million of 0% digital barrier notes due Jan. 4, 2024 linked to the least performing of the Euro Stoxx 50 index, the MSCI EAFE index and the Nasdaq-100 index or an equally weighted basket consisting of those three indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
A trigger event occurs if the final value of any index is less than its barrier value, or 70% of its initial value.
If a trigger event does not occur, the payout at maturity will be based on the performance of the index basket.
Specifically, if a trigger event has not occurred and the final basket level is greater than or equal to the initial basket level, the payout will be par plus the contingent digital return of 31.5%. If a trigger event has not occurred but the final basket level is less than the initial basket level, the payout will be par.
If a trigger event has occurred, investors will be fully exposed to the decline of the least performing index from its initial level.
In other words, if a trigger event has occurred, investors will not benefit from the performance of the basket; instead investors be exposed to the performance of the least performing index.
The agent is J.P. Morgan Securities LLC.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Digital barrier notes
|
| Underlying indexes: | Euro Stoxx 50 index, MSCI EAFE index and Nasdaq-100 index
|
| Underlying basket: | Euro Stoxx 50 index, MSCI EAFE index and Nasdaq-100 index; equally weighted
|
| Amount: | $23,393,000
|
| Maturity: | Jan. 4, 2024
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If a trigger event has not occurred and the basket finishes flat or gains, par plus 31.5%; if a trigger event has not occurred but the final basket level is less than the initial basket level, par; if a trigger event has occurred, full exposure to the decline of the least performing index
|
| Trigger event: | Final value of any index is less than its barrier value
|
| Initial levels: | 3,581.37 for Euro Stoxx, 2,159.25 for MSCI EAFE and 12,843.49 for Nasdaq
|
| Barrier levels: | 2,506.959 for Euro Stoxx, 1,511.475 for MSCI EAFE and 8,990.443 for Nasdaq, 70% of initial levels
|
| Pricing date: | Dec. 29
|
| Settlement date: | Dec. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.1%
|
| Cusip: | 48132REB2
|
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