JPMorgan to price contingent interest autocallables on MerQube US Tech

By Marisa Wong

Los Angeles, July 14 – JPMorgan Chase Financial Co. LLC plans to price autocallable contingent interest notes due July 17, 2026 linked to the MerQube US Tech+ Vol Advantage index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The underlying index attempts to provide a dynamic rules-based exposure to an unfunded rolling position in E-Mini Nasdaq-100 futures, which reference the Nasdaq-100 index, while targeting a level volatility, with a maximum exposure to the futures contracts of 500% and a minimum exposure to the futures contracts of 0%.

The index is subject to a daily deduction of a 6% per annum index fee.

The index was developed by MerQube in coordination with JPMorgan and was established on June 22.

The notes will pay a contingent quarterly coupon at an annualized rate of at least 13% if the index closes at or above its 70% coupon barrier level on the related quarterly review date. The exact contingent interest rate will be set at pricing.

The notes will be called at par plus the contingent coupon if the index closes at or above its initial level on any quarterly review date other than the first and final review dates.

The payout at maturity will be par plus the contingent coupon, if any, unless the index finishes below its 60% trigger level, in which case investors will be exposed to the index’s decline from its initial level.

The agent is J.P. Morgan Securities LLC.

The notes will settle on July 19.

The Cusip number is 48132U3C5.

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