New Issue: JPMorgan prices $450,000 contingent interest autocallables linked to indexes, Russell ETF

By Angela McDaniels

Tacoma, Wash., May 26 – JPMorgan Chase Financial Co. LLC priced $450,000 of autocallable contingent interest notes due July 11, 2025 linked to the least performing of the Nasdaq-100 index, the S&P 500 index and the iShares Russell 2000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

Each month, the notes will pay a contingent coupon at the rate of 8.85% per year if each asset closes at or above its interest barrier, 75% of its initial level, on the review date for that month.

The notes will be automatically called at par plus the contingent coupon if each asset closes at or above its initial level on any monthly review date other than the first though fifth and final review dates.

If the notes have not been called, the payout at maturity will be par unless any asset finishes below its buffer threshold, 70% of its initial level, in which case investors will lose 1% for every 1% that the least-performing asset declines beyond 30%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Autocallable contingent interest notes
Underlying assets:	Nasdaq-100 index, S&P 500 index and iShares Russell 2000 Value ETF
Amount:	$450,000
Maturity:	July 11, 2025
Coupon:	8.85% per year, payable monthly if each asset closes at or above interest barrier on review date for that month
Price:	Par
Payout at maturity:	Par unless any asset finishes below buffer threshold, in which case 1% loss for every 1% that least-performing asset declines beyond 30%
Call:	Automatically at par plus contingent coupon if each asset closes at or above initial level on any monthly review date other than first through fifth and final ones
Initial levels:	$139.51 for ETF, 3,899.38 for S&P and 12,125.69 for Nasdaq
Interest barriers:	$104.6325 for ETF, 2,924.535 for S&P and 9,094.2675 for Nasdaq, or 75% of initial levels
Buffer thresholds:	$97.657 for ETF, 2,729.566 for S&P and 8,487.983 for Nasdaq, or 70% of initial levels
Pricing date:	July 8, 2022
Settlement date:	July 13, 2022
Agent:	J.P. Morgan Securities LLC
Fees:	0.75%
Cusip:	48133LJR4

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