By Kiku Steinfeld
Chicago, July 6 – JPMorgan Chase Financial Co. LLC priced $100,000 of 0% notes due Feb. 28, 2024 linked to the performance of the U.S. dollar relative to a weighted basket of currencies, according to a 424B2 filing with the Securities and Exchange Commission
The underlying currencies are the European Union euro (57.6% weight), Japanese yen (13.6% weight), British pound sterling (11.9% weight), Canadian dollar (9.1% weight), Swedish krona (4.2% weight) and Swiss franc (3.6% weight).
The payout at maturity will be par plus the additional amount, which is equal to 1.01 times the basket return, subject to a minimum payout of par and a maximum payout of par plus 101%.
Because the reference currency returns are expressed either as the ending spot rate minus the starting spot rate, divided by the ending spot rate, or as the starting spot rate minus the ending spot rate, divided by the starting spot rate, the payout at maturity is subject to an embedded maximum payment at maturity. In no event will any reference currency return be greater than 100% and, accordingly, the basket return will not be greater than 100%. As a result, because the participation rate is 101%, the additional amount will be at most $1,010 per $1,000 principal amount note, and the payment at maturity will be at most $2,010 per $1,000 principal amount.
Investors will receive par if the basket falls or finishes flat.
The notes are guaranteed by JPMorgan Chase & Co.
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: | Notes
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| Underlying currencies: | European Union euro (57.6% weight), Japanese yen (13.6% weight), British pound sterling (11.9% weight), Canadian dollar (9.1% weight), Swedish krona (4.2% weight) and the Swiss franc (3.6% weight)
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| Amount: | $100,000
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| Maturity: | Feb. 28, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | 101% of any basket gain, subject to effective maximum return of 101%; par if basket falls or finishes flat
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| Initial spot rates: | 1.06925 for euro, 131.120 for yen, 1.20980 for pound sterling, 1.33640 for Canadian dollar, 10.41265 for krona and 0.92435 for Swiss franc
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| Pricing date: | Feb. 10, 2023
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| Settlement date: | Feb. 15, 2023
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48133U3K6
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