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Published on 5/13/2022 in the Prospect News Structured Products Daily.

New Issue: JPMorgan prices $820,000 8.26% autocallable contingent interest notes on ETFs

Chicago, May 13 – JPMorgan Chase Financial Co. LLC priced $820,000 of autocallable contingent interest notes due Oct. 11, 2024 linked to the least performing of the iShares MSCI Emerging Markets ETF, iShares Russell 2000 ETF and iShares Russell 2000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.

Investors will receive a coupon of 8.26%, paid quarterly, if each underlying fund closes at or above its 70% coupon barrier on the related quarterly observation date.

The securities will be called automatically at par starting April 8, 2022 and on any subsequent quarterly review date if all three funds close above their initial levels.

At maturity the payout will be par unless the worst performing fund closes below its 50% trigger level in which case investors will be fully exposed to the decline of the worst performing fund.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

Issuer:JPMorgan Chase Financial Co. LLC
Guarantor:JPMorgan Chase & Co.
Issue:Autocallable contingent interest notes
Underlying ETFs:iShares MSCI Emerging Markets ETF, iShares Russell 2000 ETF and iShares Russell 2000 Value ETF
Amount:$820,000
Maturity:Oct. 11, 2024
Coupon:8.26% annual rate, paid quarterly, if each underlying fund closes at or above its 70% coupon barrier on the related quarterly observation date
Price:Par
Payout at maturity:Par unless the worst performing fund closes below its trigger level in which case investors will be fully exposed to the decline in the worst performing underlying fund
Call:Automatically at par starting April 8, 2022 and on any subsequent quarterly review date if all three funds close above their initial levels
Initial levels:$221.58 for Russell, $164.11 for Russell Value, $50.82 for EM
Trigger levels:$110.79 for Russell, $82.055 for Russell Value, $25.41 for EM; 50% of initial levels
Coupon barrier levels:$155.106 for Russell, $114.877 for Russell Value, $35.574 for EM; 70% of the initial levels
Pricing date:Oct. 8, 2021
Settlement date:Oct. 14, 2021
Agent:J.P. Morgan Securities LLC
Fees:0.5%
Cusip:48132WS26

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