New York, Feb. 21 – JPMorgan Chase Financial Co. LLC priced $1.17 million of 0% autocallable barrier notes due Feb. 20, 2026 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 at par plus a 30% premium if the index closes at or above its initial level on Feb. 15, 2024.
If the index gains, the payout will be par plus the index return.
Investors will receive par if the index declines but ends at or above its 50% barrier and will lose 1% for every 1% that the index declines if it finishes below the barrier 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: | Autocallable barrier notes
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Underlying index: | MerQube US Large-Cap Vol Advantage index
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Amount: | $1,169,000
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Maturity: | Feb. 20, 2026
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index finishes at or above its initial value, par plus index return; if index declines but 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 at par plus a 30% premium if the index closes at or above its initial level on Feb. 15, 2024
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Initial level: | 2,497.58
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Downside threshold: | 1,248.79, 50% of initial level
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Pricing date: | Feb. 14
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Settlement date: | Feb. 16
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Agent: | J.P. Morgan Securities LLC
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Fees: | 5%
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Cusip: | 48133TP74
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