New Issue: JPMorgan sells $1.8 million capped buffered notes on 49 consumer recovery stocks

By Marisa Wong

Los Angeles, May 3 – JPMorgan Chase Financial Co. LLC priced $1.8 million of 0% capped buffered equity notes due April 6, 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 2.603353% weight, Caesars Entertainment, Inc. with a 2.484022% weight, Dave & Buster’s Entertainment, Inc. with a 2.459804% weight, United Airlines Holdings, Inc. with a 2.450106% weight, L Brands, Inc. with a 2.438070% weight, Norwegian Cruise Line Holdings Ltd. with a 2.386393% weight, Royal Caribbean Cruises Ltd. with a 2.350321% weight, Burlington Stores, Inc. with a 2.301717% weight, Southwest Airlines Co. with a 2.298993% weight, Tapestry, Inc. with a 2.297962% weight, Ford Motor Co. with a 2.289102% weight, American Express Co. with a 2.262320% weight, Nordstrom, Inc. with a 2.247614% weight, Wynn Resorts, Ltd. with a 2.237425% weight, General Motors Co. with a 2.223330% weight, Alaska Air Group, Inc. with a 2.222234% weight, MasterCard Inc. with a 2.212801% weight, Delta Air Lines, Inc. with a 2.197271% weight, Expedia Group, Inc. with a 2.179953% weight, MGM Resorts International with a 2.176996% weight, Whirlpool Corp. with a 2.130383% weight, Walt Disney Co. with a 2.108374% weight, Newell Brands Inc. with a 2.102646% weight, Las Vegas Sands Corp. with a 2.098413% weight, Advance Auto Parts, Inc. with a 2.097459% weight, Visa Inc. with a 2.097261% weight, Lithia Motors, Inc. with a 2.089751% weight, Booking Holdings Inc. with a 2.079272% weight, PulteGroup, Inc. with a 2.062825% weight, Restaurant Brands International Inc. with a 2.051971% weight, Fortune Brands Home & Security, Inc. with a 2.041540% weight, Starbucks Corp. with a 2.009897% weight, Uber Technologies, Inc. with a 2.001729% weight, Ross Stores, Inc. with a 1.996184% weight, Constellation Brands, Inc. with a 1.984724% weight, Ulta Beauty, Inc. with a 1.951920% weight, Coca-Cola Co. with a 1.941147% weight, Five Below, Inc. with a 1.937354% weight, McDonald’s Corp. with a 1.928882% weight, TJX Cos., Inc. with a 1.915118% weight, Best Buy Co., Inc. with a 1.860243% weight, Dollar General Corp. with a 1.852075% weight, Target Corp. with a 1.840399% weight, lululemon athletica inc. with a 1.778296% weight, American Axle & Manufacturing Holdings with a 1.568899% weight, MGM Growth Properties LLC with a 1.209549% weight, Cedar Fair, LP with a 1.086757% weight, Hostess Brands, Inc. with a 1.055787% weight and Reynolds Consumer Products Inc. with a 0.801360% weight.

The payout at maturity will be par plus any basket gain, capped at par plus 12.9%. 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 2.603353% weight, Caesars Entertainment, Inc. (Nasdaq: CZR) with a 2.484022% weight, Dave & Buster’s Entertainment, Inc. (Nasdaq: PLAY) with a 2.459804% weight, United Airlines Holdings, Inc. (Nasdaq: UAL) with a 2.450106% weight, L Brands, Inc. (NYSE: LB) with a 2.438070% weight, Norwegian Cruise Line Holdings Ltd. (NYSE: NCLH) with a 2.386393% weight, Royal Caribbean Cruises Ltd. (NYSE: RCL) with a 2.350321% weight, Burlington Stores, Inc. (NYSE: BURL) with a 2.301717% weight, Southwest Airlines Co. (NYSE: LUV) with a 2.298993% weight, Tapestry, Inc. (NYSE: TPR) with a 2.297962% weight, Ford Motor Co. (NYSE: F) with a 2.289102% weight, American Express Co. (NYSE: AXP) with a 2.262320% weight, Nordstrom, Inc. (NYSE: JWN) with a 2.247614% weight, Wynn Resorts, Ltd. (Nasdaq: WYNN) with a 2.237425% weight, General Motors Co. (NYSE: GM) with a 2.223330% weight, Alaska Air Group, Inc. (NYSE: ALK) with a 2.222234% weight, MasterCard Inc. (NYSE: MA) with a 2.212801% weight, Delta Air Lines, Inc. (NYSE: DAL) with a 2.197271% weight, Expedia Group, Inc. (Nasdaq: EXPE) with a 2.179953% weight, MGM Resorts International (NYSE: MGM) with a 2.176996% weight, Whirlpool Corp. (NYSE Chicago and NYSE: WHR) with a 2.130383% weight, Walt Disney Co. (NYSE: DIS) with a 2.108374% weight, Newell Brands Inc. (Nasdaq: NWL) with a 2.102646% weight, Las Vegas Sands Corp. (NYSE: LVS) with a 2.098413% weight, Advance Auto Parts, Inc. (NYSE: AAP) with a 2.097459% weight, Visa Inc. (NYSE: V) with a 2.097261% weight, Lithia Motors, Inc. (NYSE: LAD) with a 2.089751% weight, Booking Holdings Inc. (Nasdaq: BKNG) with a 2.079272% weight, PulteGroup, Inc. (NYSE: PHM) with a 2.062825% weight, Restaurant Brands International Inc. (NYSE: QSR) with a 2.051971% weight, Fortune Brands Home & Security, Inc. (NYSE: FBHS) with a 2.041540% weight, Starbucks Corp. (Nasdaq: SBUX) with a 2.009897% weight, Uber Technologies, Inc. (NYSE: UBER) with a 2.001729% weight, Ross Stores, Inc. (Nasdaq: ROST) with a 1.996184% weight, Constellation Brands, Inc. (NYSE: STZ) with a 1.984724% weight, Ulta Beauty, Inc. (Nasdaq: ULTA) with a 1.951920% weight, Coca-Cola Co. (NYSE: KO) with a 1.941147% weight, Five Below, Inc. (Nasdaq: FIVE) with a 1.937354% weight, McDonald’s Corp. (NYSE: MCD) with a 1.928882% weight, TJX Cos., Inc. (NYSE: TJX) with a 1.915118% weight, Best Buy Co., Inc. (NYSE: BBY) with a 1.860243% weight, Dollar General Corp. (NYSE: DG) with a 1.852075% weight, Target Corp. (NYSE: TGT) with a 1.840399% weight, lululemon athletica inc. (Nasdaq: LULU) with a 1.778296% weight, American Axle & Manufacturing Holdings (NYSE: AXL) with a 1.568899% weight, MGM Growth Properties LLC (NYSE: MGP) with a 1.209549% weight, Cedar Fair, LP (NYSE: FUN) with a 1.086757% weight, Hostess Brands, Inc. (Nasdaq: TWNK) with a 1.055787% weight and Reynolds Consumer Products Inc. (Nasdaq: REYN) with a 0.801360% weight
Amount:	$1.8 million
Maturity:	April 6, 2022
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	Par plus any basket gain, capped at par plus 12.9%; par if the basket falls by up to 10%; otherwise, 1.11111% loss for every 1% basket decline beyond 10%
Initial share price:	$30.99 for Gap, $89.32 for Caesars, $46.26 for Dave, $60.77 for United, $60.54 for L, $29.70 for Norwegian, $90.72 for Royal, $307.00 for Burlington, $61.05 for Southwest, $44.69 for Tapestry, $12.83 for Ford, $140.71 for Amex, $42.49 for Nordstrom, $135.48 for Wynn, $59.82 for GM, $70.78 Alaska, $356.51 for MasterCard, $49.00 for Delta, $179.98 for Expedia, $40.03 for MGM Resorts, $218.46 for Whirlpool, $191.14 for Disney, $26.09 for Newell, $63.74 for Sands, $186.00 for Advance, $206.90 for Visa, $395.40 for Lithia, $2,287.74 for Booking, $48.99 for Pulte, $64.78 for Restaurant, $91.50 for Fortune, $106.34 for Starbucks, $57.08 for Uber, $121.31 for Ross, $234.70 for Constellation, $321.84 for Ulta, $50.81 for Coca-Cola, $196.63 for Five Below, $222.44 for McDonald’s, $66.61 for TJX, $118.19 for Best Buy, $187.78 for Dollar, $187.55 for Target, $308.71 for lululemon, $11.43 for American Axle, $33.03 for MGM Growth, $49.23 for Cedar, $14.79 for Hostess, $29.94 for Reynolds
Final share price:	Average of closing share prices for each of five trading days ending April 1, 2022
Pricing date:	March 19
Settlement date:	March 24
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48132TGD2

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