New Issue: JPMorgan sells $800,000 return notes on basket of 49 consumer recovery stocks

By Marisa Wong

Los Angeles, March 9 – JPMorgan Chase Financial Co. LLC priced $800,000 of 0% return notes due March 16, 2022 linked to the J.P. Morgan consumer recovery basket of 49 stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The basket consists of the stocks of Royal Caribbean Cruises Ltd. with a 2.60% weight, Caesars Entertainment, Inc. with a 2.47% weight, United Airlines Holdings, Inc. with a 2.45% weight, Norwegian Cruise Line Holdings Ltd. with a 2.45% weight, L Brands, Inc. with a 2.34% weight, Tapestry, Inc. with a 2.32% weight, Dave & Buster’s Entertainment, Inc. with a 2.30% weight, Southwest Airlines Co. with a 2.34% weight, Wynn Resorts, Ltd. with a 2.30% weight, Alaska Air Group, Inc. with a 2.27% weight, MGM Resorts International with a 2.26% weight, Gap, Inc. with a 2.25% weight, Las Vegas Sands Corp. with a 2.25% weight, Delta Air Lines, Inc. with a 2.26% weight, American Express Co. with a 2.20% weight, MasterCard Inc. with a 2.19% weight, Walt Disney Co. with a 2.16% weight, Starbucks Corp. with a 2.15% weight, Expedia Group, Inc. with a 2.15% weight, Ford Motor Co. with a 2.14% weight, Booking Holdings Inc. with a 2.16% weight, Visa Inc. with a 2.12% weight, Lithia Motors, Inc. with a 2.11% weight, Ulta Beauty, Inc. with a 2.11% weight, Nordstrom, Inc. with a 2.12% weight, Restaurant Brands International Inc. with a 2.07% weight, Whirlpool Corp. with a 2.08% weight, PulteGroup, Inc. with a 2.08% weight, Newell Brands Inc. with a 2.05% weight, General Motors Co. with a 2.06% weight, Fortune Brands Home & Security, Inc. with a 2.03% weight, Burlington Stores, Inc. with a 2.04% weight, Coca-Cola Co. with a 2.02% weight, Ross Stores, Inc. with a 2.03% weight, Five Below, Inc. with a 2.02% weight, TJX Cos., Inc. with a 2.02% weight, McDonald’s Corp. with a 2.00% weight, Advance Auto Parts, Inc. with a 2.00% weight, Target Corp. with a 2.00% weight, Constellation Brands, Inc. with a 1.98% weight, Dollar General Corp. with a 1.95% weight, lululemon athletica inc. with a 1.94% weight, Uber Technologies, Inc. with a 1.83% weight, Best Buy Co., Inc. with a 1.80% weight, MGM Growth Properties LLC with a 1.28% weight, American Axle & Manufacturing Holdings with a 1.27% weight, Cedar Fair, LP with a 1.10% weight, Hostess Brands, Inc. with a 1.08% weight and Reynolds Consumer Products Inc. with a 0.79% weight.

The payout at maturity will be par plus 99.25% times the basket return, subject to a floor of zero. Because of the 99.25% adjustment factor, the payout will be less than par unless the basket gains by at least 0.75567%.

The agent is J.P. Morgan Securities LLC.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Return notes
Underlying basket:	Royal Caribbean Cruises Ltd. (NYSE: RCL) with a 2.60% weight, Caesars Entertainment, Inc. (Nasdaq: CZR) with a 2.47% weight, United Airlines Holdings, Inc. (Nasdaq: UAL) with a 2.45% weight, Norwegian Cruise Line Holdings Ltd. (NYSE: NCLH) with a 2.45% weight, L Brands, Inc. (NYSE: LB) with a 2.34% weight, Tapestry, Inc. (NYSE: TPR) with a 2.32% weight, Dave & Buster’s Entertainment, Inc. (Nasdaq: PLAY) with a 2.30% weight, Southwest Airlines Co. (NYSE: LUV) with a 2.34% weight, Wynn Resorts, Ltd. (Nasdaq: WYNN) with a 2.30% weight, Alaska Air Group, Inc. (NYSE: ALK) with a 2.27% weight, MGM Resorts International (NYSE: MGM) with a 2.26% weight, Gap, Inc. (NYSE: GPS) with a 2.25% weight, Las Vegas Sands Corp. (NYSE: LVS) with a 2.25% weight, Delta Air Lines, Inc. (NYSE: DAL) with a 2.26% weight, American Express Co. (NYSE: AXP) with a 2.20% weight, MasterCard Inc. (NYSE: MA) with a 2.19% weight, Walt Disney Co. (NYSE: DIS) with a 2.16% weight, Starbucks Corp. (Nasdaq: SBUX) with a 2.15% weight, Expedia Group, Inc. (Nasdaq: EXPE) with a 2.15% weight, Ford Motor Co. (NYSE: F) with a 2.14% weight, Booking Holdings Inc. (Nasdaq: BKNG) with a 2.16% weight, Visa Inc. (NYSE: V) with a 2.12% weight, Lithia Motors, Inc. (NYSE: LAD) with a 2.11% weight, Ulta Beauty, Inc. (Nasdaq: ULTA) with a 2.11% weight, Nordstrom, Inc. (NYSE: JWN) with a 2.12% weight, Restaurant Brands International Inc. (NYSE: QSR) with a 2.07% weight, Whirlpool Corp. (NYSE Chicago and NYSE: WHR) with a 2.08% weight, PulteGroup, Inc. (NYSE: PHM) with a 2.08% weight, Newell Brands Inc. (Nasdaq: NWL) with a 2.05% weight, General Motors Co. (NYSE: GM) with a 2.06% weight, Fortune Brands Home & Security, Inc. (NYSE: FBHS) with a 2.03% weight, Burlington Stores, Inc. (NYSE: BURL) with a 2.04% weight, Coca-Cola Co. (NYSE: KO) with a 2.02% weight, Ross Stores, Inc. (Nasdaq: ROST) with a 2.03% weight, Five Below, Inc. (Nasdaq: FIVE) with a 2.02% weight, TJX Cos., Inc. (NYSE: TJX) with a 2.02% weight, McDonald’s Corp. (NYSE: MCD) with a 2.00% weight, Advance Auto Parts, Inc. (NYSE: AAP) with a 2.00% weight, Target Corp. (NYSE: TGT) with a 2.00% weight, Constellation Brands, Inc. (NYSE: STZ) with a 1.98% weight, Dollar General Corp. (NYSE: DG) with a 1.95% weight, lululemon athletica inc. (Nasdaq: LULU) with a 1.94% weight, Uber Technologies, Inc. (NYSE: UBER) with a 1.83% weight, Best Buy Co., Inc. (NYSE: BBY) with a 1.80% weight, MGM Growth Properties LLC (NYSE: MGP) with a 1.28% weight, American Axle & Manufacturing Holdings (NYSE: AXL) with a 1.27% weight, Cedar Fair, LP (NYSE: FUN) with a 1.10% weight, Hostess Brands, Inc. (Nasdaq: TWNK) with a 1.08% weight, Reynolds Consumer Products Inc. (Nasdaq: REYN) with a 0.79% weight
Amount:	$800,000
Maturity:	March 16, 2022
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	Par plus 99.25% times the basket return, subject to a floor of zero; payout will be less than par unless the basket gains by at least 0.75567%
Initial share price:	$86.51 for Royal Caribbean, $93.31 for Caesars, $50.52 for United, $28.85 for Norwegian, $55.68 for L Brands, $41.91 for Tapestry, $42.38 for Dave & Buster’s, $56.92 for Southwest, $133.32 for Wynn, $64.89 for Alaska, $37.14 for MGM Resorts, $27.31 for Gap, $62.44 for Las Vegas Sands, $46.21 for Delta, $147.33 for American Express, $360.88 for MasterCard, $189.99 for Disney, $105.20 for Starbucks, $166.45 for Expedia, $12.27 for Ford, $2,307.10 for Booking, $215.41 for Visa, $375.46 for Lithia, $333.37 for Ulta, $35.07 for Nordstrom, $62.47 for Restaurant, $195.25 for Whirlpool, $45.74 for Pulte, $24.64 for Newell, $53.75 for GM, $85.76 for Fortune, $279.35 for Burlington, $50.79 for Coca-Cola, $113.13 for Ross, $183.36 for Five Below, $62.72 for TJX, $207.37 for McDonald’s, $171.51 for Advance Auto, $172.61 for Target, $217.01 for Constellation, $178.71 for Dollar General, $293.24 for lululemon, $55.54 for Uber, $102.85 for Best Buy, $33.16 for MGM Growth, $10.27 for American Axle, $50.43 for Cedar Fair, $14.98 for Hostess, $27.97 for Reynolds
Final share price:	Average of closing share prices for each of five trading days ending March 11, 2022
Pricing date:	March 3
Settlement date:	March 5
Agent:	J.P. Morgan Securities LLC
Fees:	0.75%
Cusip:	48129KAK6

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