Published on 5/16/2023 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $400,000 review notes linked to Stoxx, EM index
Chicago, May 16 – JPMorgan Chase Financial Co. LLC priced $400,000 of 0% review notes due June 23, 2026 linked to the lesser performing of the Euro Stoxx 50 index and MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically starting June 21, 2023 and on any subsequent annual review date at a premium of 16.25% per year if the worst performing index closes above 100%, 97.5%, 95% and 92.5% of its initial value on the successive determination dates.
If the notes are not called because at least one of the indexes has ended below its initial level but the worst performing index ends above its 70% downside threshold the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the worst performing 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 indexes: | Euro Stoxx 50 index and MSCI Emerging Markets index
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Amount: | $400,000
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Maturity: | June 23, 2026
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If at least one index ends below initial level but worst performing index finishes at or above its downside threshold level, par; 1% loss for every 1% that worst performing index declines if it finishes below its downside threshold level
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Call: | Automatically starting June 21, 2023 and on any subsequent annual review date at a premium of 16.25% per year if the worst performing index closes above 100%, 97.5%, 95% and 92.5% of its initial value on the successive determination dates
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Initial levels: | 3,438.46 for Stoxx, 1,004.63 for MSCI EM
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Downside thresholds: | 2,406.922 for Stoxx, 703.241 for MSCI EM, 70% of initial levels
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Pricing date: | June 17, 2022
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Settlement date: | June 23, 2022
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0%
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Cusip: | 48133GA78
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