New Issue: JPMorgan prices $4.25 million capped accelerated barrier notes on index, ETF basket

By Kiku Steinfeld

Chicago, May 24 – JPMorgan Chase Financial Co. LLC priced $4.25 million of 0% capped accelerated barrier notes due May 4, 2023 linked to a basket consisting of the S&P 500 index with a 40% weight, the iShares MSCI EAFE exchange-traded fund with a 30% weight, the S&P MidCap 400 index with a 20% weight and the Russell 2000 index with a 10% weight, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 1.25 times any basket gain, up to a maximum return of 21.25%.

Investors will receive par if the basket falls by up to 20%. Otherwise, investors will lose 1% for every 1% decline below its initial level.

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:	Capped accelerated barrier notes
Underlying basket:	S&P 500 (40%), iShares MSCI EAFE ETF (30%), S&P MidCap 400 index (20%) and Russell 2000 index (10%)
Amount:	$4,246,000
Maturity:	May 4, 2023
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.25 times any basket gain, capped at 21.25%; par if basket falls by up to 20%; otherwise full exposure to losses
Initial level:	4,181.17 for S&P, $78.11 for ETF, 2,725.15 for MidCap, 2,266.449 for Russell
Barrier level:	80% of initial basket level
Pricing date:	April 30
Settlement date:	May 5
Agent:	J.P. Morgan Securities LLC
Fees:	0.49131%
Cusip:	48132TUS3

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