New Issue: JPMorgan prices $2.18 million capped buffered notes on 49 consumer recovery stocks

By Marisa Wong

Los Angeles, March 16 – JPMorgan Chase Financial Co. LLC priced $2.18 million of 0% capped buffered equity notes due March 30, 2022 linked to the J.P. Morgan consumer recovery basket of 49 unequally weighted stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The basket is comprised of the stocks of 49 U.S.-listed companies that may benefit from a positive performance of the consumer discretionary sector during the term of the notes. The reference stocks are Gap, Inc. with a 2.509888% weight, Caesars Entertainment, Inc. with a 2.423610% weight, United Airlines Holdings, Inc. with a 2.406737% weight, Dave & Buster’s Entertainment, Inc. with a 2.393470% weight, Royal Caribbean Cruises Ltd. with a 2.370747% weight, Norwegian Cruise Line Holdings Ltd. with a 2.365013% weight, American Express Co. with a 2.361633% weight, Southwest Airlines Co. with a 2.328545% weight, Tapestry, Inc. with a 2.317952% weight, L Brands, Inc. with a 2.290714% weight, Alaska Air Group, Inc. with a 2.280251% weight, Burlington Stores, Inc. with a 2.279982% weight, Wynn Resorts, Ltd. with a 2.255748% weight, MasterCard Inc. with a 2.225378% weight, Ford Motor Co. with a 2.224973% weight, Las Vegas Sands Corp. with a 2.198365% weight, Walt Disney Co. with a 2.196457% weight, Ulta Beauty, Inc. with a 2.180062% weight, MGM Resorts International with a 2.174764% weight, Delta Air Lines, Inc. with a 2.163803% weight, Whirlpool Corp. with a 2.159740% weight, Newell Brands Inc. with a 2.156669% weight, Visa Inc. with a 2.141995% weight, Restaurant Brands International Inc. with a 2.138430% weight, Expedia Group, Inc. with a 2.136834% weight, Booking Holdings Inc. with a 2.119981% weight, General Motors Co. with a 2.119281% weight, Advance Auto Parts, Inc. with a 2.118492% weight, PulteGroup, Inc. with a 2.112376% weight, Nordstrom, Inc. with a 2.098273% weight, Coca-Cola Co. with a 2.065109% weight, Lithia Motors, Inc. with a 2.060659% weight, Fortune Brands Home & Security, Inc. with a 2.040683% weight, Starbucks Corp. with a 2.022748% weight, Ross Stores, Inc. with a 2.010936% weight, Constellation Brands, Inc. with a 1.970062% weight, Five Below, Inc. with a 1.965677% weight, McDonald’s Corp. with a 1.953449% weight, TJX Cos., Inc. with a 1.928494% weight, Target Corp. with a 1.874288% weight, Best Buy Co., Inc. with a 1.845390% weight, Dollar General Corp. with a 1.825025% weight, Uber Technologies, Inc. with a 1.824122% weight, lululemon athletica inc. with a 1.739212% weight, American Axle & Manufacturing Holdings with a 1.411010% weight, MGM Growth Properties LLC with a 1.237701% weight, Cedar Fair, LP with a 1.111938% weight, Hostess Brands, Inc. with a 1.082281% weight and Reynolds Consumer Products Inc. with a 0.781057% weight.

The payout at maturity will be par plus any basket gain, capped at par plus 13.6%. Investors will receive par if the basket falls by up to 10% and will lose 1.11111% for every 1% basket decline beyond 10%.

The agent is J.P. Morgan Securities LLC.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped buffered equity notes
Underlying basket:	Gap, Inc. (NYSE: GPS) with a 2.509888% weight, Caesars Entertainment, Inc. (Nasdaq: CZR) with a 2.423610% weight, United Airlines Holdings, Inc. (Nasdaq: UAL) with a 2.406737% weight, Dave & Buster’s Entertainment, Inc. (Nasdaq: PLAY) with a 2.393470% weight, Royal Caribbean Cruises Ltd. (NYSE: RCL) with a 2.370747% weight, Norwegian Cruise Line Holdings Ltd. (NYSE: NCLH) with a 2.365013% weight, American Express Co. (NYSE: AXP) with a 2.361633% weight, Southwest Airlines Co. (NYSE: LUV) with a 2.328545% weight, Tapestry, Inc. (NYSE: TPR) with a 2.317952% weight, L Brands, Inc. (NYSE: LB) with a 2.290714% weight, Alaska Air Group, Inc. (NYSE: ALK) with a 2.280251% weight, Burlington Stores, Inc. (NYSE: BURL) with a 2.279982% weight, Wynn Resorts, Ltd. (Nasdaq: WYNN) with a 2.255748% weight, MasterCard Inc. (NYSE: MA) with a 2.225378% weight, Ford Motor Co. (NYSE: F) with a 2.224973% weight, Las Vegas Sands Corp. (NYSE: LVS) with a 2.198365% weight, Walt Disney Co. (NYSE: DIS) with a 2.196457% weight, Ulta Beauty, Inc. (Nasdaq: ULTA) with a 2.180062% weight, MGM Resorts International (NYSE: MGM) with a 2.174764% weight, Delta Air Lines, Inc. (NYSE: DAL) with a 2.163803% weight, Whirlpool Corp. (NYSE Chicago and NYSE: WHR) with a 2.159740% weight, Newell Brands Inc. (Nasdaq: NWL) with a 2.156669% weight, Visa Inc. (NYSE: V) with a 2.141995% weight, Restaurant Brands International Inc. (NYSE: QSR) with a 2.138430% weight, Expedia Group, Inc. (Nasdaq: EXPE) with a 2.136834% weight, Booking Holdings Inc. (Nasdaq: BKNG) with a 2.119981% weight, General Motors Co. (NYSE: GM) with a 2.119281% weight, Advance Auto Parts, Inc. (NYSE: AAP) with a 2.118492% weight, PulteGroup, Inc. (NYSE: PHM) with a 2.112376% weight, Nordstrom, Inc. (NYSE: JWN) with a 2.098273% weight, Coca-Cola Co. (NYSE: KO) with a 2.065109% weight, Lithia Motors, Inc. (NYSE: LAD) with a 2.060659% weight, Fortune Brands Home & Security, Inc. (NYSE: FBHS) with a 2.040683% weight, Starbucks Corp. (Nasdaq: SBUX) with a 2.022748% weight, Ross Stores, Inc. (Nasdaq: ROST) with a 2.010936% weight, Constellation Brands, Inc. (NYSE: STZ) with a 1.970062% weight, Five Below, Inc. (Nasdaq: FIVE) with a 1.965677% weight, McDonald’s Corp. (NYSE: MCD) with a 1.953449% weight, TJX Cos., Inc. (NYSE: TJX) with a 1.928494% weight, Target Corp. (NYSE: TGT) with a 1.874288% weight, Best Buy Co., Inc. (NYSE: BBY) with a 1.845390% weight, Dollar General Corp. (NYSE: DG) with a 1.825025% weight, Uber Technologies, Inc. (NYSE: UBER) with a 1.824122% weight, lululemon athletica inc. (Nasdaq: LULU) with a 1.739212% weight, American Axle & Manufacturing Holdings (NYSE: AXL) with a 1.411010% weight, MGM Growth Properties LLC (NYSE: MGP) with a 1.237701% weight, Cedar Fair, LP (NYSE: FUN) with a 1.111938% weight, Hostess Brands, Inc. (Nasdaq: TWNK) with a 1.082281% weight and Reynolds Consumer Products Inc. (Nasdaq: REYN) with a 0.781057% weight.
Amount:	$2,175,000
Maturity:	March 30, 2022
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	Par plus any basket gain, capped at par plus 13.6%; par if the basket falls by up to 10%; otherwise, 1.11111% loss for every 1% basket decline beyond 10%
Initial share price:	$30.81 for Gap, $100.62 for Caesars, $56.29 for United, $46.52 for Dave & Buster’s, $90.22 for Royal Caribbean, $30.73 for Norwegian, $148.54 for Amex, $61.03 for Southwest, $44.61 for Tapestry, $60.81 for L Brands, $68.02 for Alaska, $311.51 for Burlington, $137.05 for Wynn, $382.71 for MasterCard, $13.37 for Ford, $62.45 for Las Vegas, $197.16 for Disney, $318.15 for Ulta, $38.98 for MGM Resorts, $49.83 for Delta, $207.84 for Whirlpool, $25.40 for Newell, $224.36 for Visa, $63.49 for Restaurant, $174.59 for Expedia, $2,401.04 for Booking, $59.26 for GM, $179.58 for Advance Auto, $47.93 for PulteGroup, $41.37 for Nordstrom, $50.36 for Coca-Cola, $395.92 for Lithia, $89.54 for Fortune, $107.81 for Starbucks, $122.62 for Ross, $229.39 for Constellation, $190.80 for Five Below, $212.34 for McDonald’s, $66.84 for TJX, $180.01 for Target, $110.99 for Best Buy, $191.96 for Dollar General, $60.35 for Uber, $306.08 for lululemon, $12.90 for American Axle, $33.29 for MGM Growth, $51.85 for Cedar Fair, $14.98 for Hostess, $29.98 for Reynolds
Final share price:	Average of closing share prices for each of five trading days ending March 25, 2022
Pricing date:	March 12
Settlement date:	March 17
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48132TEC6

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