Chicago, Aug. 16 – JPMorgan Chase Financial Co. LLC priced $2.89 million of 0% review notes due July 31, 2025 linked to the MerQube US Large-Cap Vol Advantage index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically starting July 26, 2023 and on any subsequent annual review date at a premium of 27.25% per year if the index closes above 100% of its initial value on the successive determination dates;
The premium for the final review date is 81.75%.
If the notes are not called because the index has closed below its initial level, and the index ends above its 60% downside threshold the payout at maturity will be par. Investors will lose 1% for every 1% that the index declines if it finishes below the downside threshold level.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase Financial Co. LLC
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Guarantor: | JPMorgan Chase & Co.
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Issue: | Review notes
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Underlying index: | MerQube US Large-Cap Vol Advantage index
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Amount: | $2,893,000
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Maturity: | July 31, 2025
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If not called and index finishes at or above its downside threshold level, par; 1% loss for every 1% that index declines if it finishes below its downside threshold level
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Call: | Automatically starting July 26, 2023 and on any subsequent annual review date at a premium of 27.25% per year if the index closes above 100% of its initial value on the successive determination dates
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Initial level: | 2,524.96
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Downside threshold: | 1,514.976, 60% of initial level
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Pricing date: | July 26
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Settlement date: | July 29
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Agent: | J.P. Morgan Securities LLC
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Fees: | 3.25%
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Cusip: | 48133LBP6
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