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Published on 10/25/2021 in the Prospect News Structured Products Daily.

New Issue: JPMorgan prices $2 million return notes on J.P. Morgan Quest Cyber

By Marisa Wong

Los Angeles, Oct. 25 – JPMorgan Chase Financial Co. LLC priced $2 million of 0% return notes due Nov. 3, 2022 linked to the J.P. Morgan Quest Cyber Security index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The payout at maturity will be par plus the index return, all multiplied by an adjustment factor of 99.2%. Because of the 99.2% adjustment factor, investors will receive less than par unless the index gains by at least 0.80645%.

The underlying index attempts to provide exposure to large-, mid- and small-capitalization companies in developed markets that may have ties to the cyber security industry. The composition of the index is determined based in part on the application of a natural-language algorithmic analysis of news articles and press releases performed by RavenPack International SL.

The index was developed and is maintained by J.P. Morgan Securities plc, also the agent for the notes. Solactive AG is currently the calculation agent of the index.

The index has been calculated on a “live” basis since Oct. 8.

J.P. Morgan Securities LLC is the agent.

Issuer:JPMorgan Chase Financial Co. LLC
Guarantor:JPMorgan Chase & Co.
Issue:Return notes
Underlying index:J.P. Morgan Quest Cyber Security index
Amount:$2 million
Maturity:Nov. 3, 2022
Coupon:0%
Price:Par
Payout at maturity:Par plus index return, all times 99.2%; payout will be less than par unless index gains by at least 0.80645%
Initial level:106.02
Final level:Average of index closing levels on five trading days ending Oct. 31, 2022
Strike date:Oct. 18
Pricing date:Oct. 20
Settlement date:Oct. 25
Agent:J.P. Morgan Securities LLC
Fees:0.75%
Cusip:48129KBL3

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