Chicago, Sept. 26 – JPMorgan Chase Financial Co. LLC priced $500,000 of bearish knock-out notes due March 27, 2023 linked to the performance of the euro relative to the U.S dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
The basis of the payout at maturity will be the strike spot rate of 0.997, the exchange rate of the euro relative to the dollar, expressing the number of dollars per one euro.
At maturity, investors will at least receive par, plus a possible additional amount based on the spot rate.
If on any day from Sept. 20, 2022 to March 22, 2023, the spot rate is below 93.5% of the strike spot rate, investors will receive par.
Investors would alternatively receive par if the final spot rate was above its strike spot rate.
Otherwise, if the spot rate stays above that 93.5% knock-out value but ends below its strike spot rate, investors will receive par plus the bearish reference currency return or the difference between the strike value and the final value.
The knock-out value effectively caps the return at 6.5% because investors will not benefit from any positive bearish reference currency return.
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: | Bearish knock-out notes
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| Underlying currencies: | Euro, U.S. dollar
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| Amount: | $500,000
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| Maturity: | March 27, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If spot rate falls below 93.5% during life of notes or ends above initial level, par; otherwise, par plus absolute value of return of initial spot rate to final spot rate
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| Strike rate | 0.997
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| Strike date: | Sept. 20, 2022
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| Pricing date: | Sept. 21, 2022
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| Settlement date: | Sept. 26, 2022
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.75%
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| Cusip: | 48133MDH0
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