New Issue: JPMorgan prices $4 million return notes on basket of stocks with inflation exposure

By Marisa Wong

Los Angeles, Oct. 18 – JPMorgan Chase Financial Co. LLC priced $4 million of 0% return notes due Oct. 31, 2022 linked to an unequally weighted basket of 49 stocks with potential exposure to inflation, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The basket is made up of reference stocks of 49 U.S.-listed companies that may benefit from inflation during the term of the notes. The companies are: Marathon Oil Corp., Capital One Financial Corp., MGM Resorts International, Hess Corp., Pioneer Natural Resources Co., United Rentals, Inc., Goldman Sachs Group, Inc., MetLife, Inc., Principal Financial Group, Inc., Bank of New York Mellon Corp., T. Rowe Price Group, Inc., Eaton Corp. plc, Brunswick Corp., Celanese Corp., United States Steel Corp., M&T Bank Corp., Unum Group, LyondellBasell Industries NV, Ametek, Inc., Eastman Chemical Co., Jefferies Financial Group Inc., NOV Inc., Oshkosh Corp., WEX Inc., ManpowerGroup Inc., Affiliated Managers Group, Inc., KBR, Inc., American Equity Investment Life Holding Co., TechnipFMC plc, Timken Co., Nabors Industries Ltd., Woodward, Inc., Flowserve Corp., Umpqua Holdings Corp., Prosperity Bancshares, Inc., Dana Inc., Allegheny Technologies Inc., CNO Financial Group, Inc., Trinity Industries, Inc., Patterson-UTI Energy, Inc., American Axle & Manufacturing Holdings, Inc., EnerSys, Vishay Intertechnology, Inc., Cabot Corp., Worthington Industries, Inc., Century Aluminum Co., BancorpSouth Bank, Columbia Banking System, Inc. and Oil States International, Inc. Weights are given in the table below.

The payout at maturity will be par plus the basket return, all multiplied by an adjustment factor of 99.5%. Because the basket adjustment factor is 99.5%, investors will receive less than par unless the basket gains by at least 0.50251%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Return notes
Underlying basket:	Marathon Oil Corp. (Symbol: MRO) with a 5.051064244897960% weight, Capital One Financial Corp. (Symbol: COF) with a 3.970158244897960% weight, MGM Resorts International (Symbol: MGM) with a 3.803785244897960% weight, Hess Corp. (Symbol: HES) with a 3.777607244897960% weight, Pioneer Natural Resources Co. (Symbol: PXD) with a 3.740383244897960% weight, United Rentals, Inc. (Symbol: URI) with a 3.451900244897960% weight, Goldman Sachs Group, Inc. (Symbol: GS) with a 3.385314244897960% weight, MetLife, Inc. (Symbol: MET) with a 3.295418244897960% weight, Principal Financial Group, Inc. (Symbol: PFG) with a 3.285277244897960% weight, Bank of New York Mellon Corp. (Symbol: BK) with a 3.125295244897960% weight, T. Rowe Price Group, Inc. (Symbol: TROW) with a 3.001666244897960% weight, Eaton Corp. plc (Symbol: ETN) with a 2.999439244897960% weight, Brunswick Corp. (Symbol: BC) with a 2.955693244897960% weight, Celanese Corp. (Symbol: CE) with a 2.873328244897960% weight, United States Steel Corp. (Symbol: X) with a 2.844430244897960% weight, M&T Bank Corp. (Symbol: MTB) with a 2.785288244897960% weight, Unum Group (Symbol: UNM) with a 2.680653244897960% weight, LyondellBasell Industries NV (Symbol: LYB) with a 2.492658244897960% weight, Ametek, Inc. (Symbol: AME) with a 2.460248244897960% weight, Eastman Chemical Co. (Symbol: EMN) with a 2.440353244897960% weight, Jefferies Financial Group Inc. (Symbol: JEF) with a 2.365849244897960% weight, NOV Inc. (Symbol: NOV) with a 2.359248244897960% weight, Oshkosh Corp. (Symbol: OSK) with a 2.270662244897960% weight, WEX Inc. (Symbol: WEX) with a 2.095216244897960% weight, ManpowerGroup Inc. (Symbol: MAN) with a 2.094782244897960% weight, Affiliated Managers Group, Inc. (Symbol: AMG) with a 2.061747244897960% weight, KBR, Inc. (Symbol: KBR) with a 2.042317244897960% weight, American Equity Investment Life Holding Co. (Symbol: AEL) with a 1.685095244897960% weight, TechnipFMC plc (Symbol: FTI) with a 1.632033244897960% weight, Timken Co. (Symbol: TKR) with a 1.316680244897960% weight, Nabors Industries Ltd. (Symbol: NBR) with a 1.290285244897960% weight, Woodward, Inc. (Symbol: WWD) with a 1.284612244897960% weight, Flowserve Corp. (Symbol: FLS) with a 1.284083244897960% weight, Umpqua Holdings Corp. (Symbol: UMPQ) with a 1.131286244897960% weight, Prosperity Bancshares, Inc. (Symbol: PB) with a 1.127552244897960% weight, Dana Inc. (Symbol: DAN) with a 1.065183244897960% weight, Allegheny Technologies Inc. (Symbol: ATI) with a 1.042989244897960% weight, CNO Financial Group, Inc. (Symbol: CNO) with a 0.943627244897959% weight, Trinity Industries, Inc. (Symbol: TRN) with a 0.930612244897959% weight, Patterson-UTI Energy, Inc. (Symbol: PTEN) with a 0.732125244897959% weight, American Axle & Manufacturing Holdings, Inc. (Symbol: AXL) with a 0.718551244897959% weight, EnerSys (Symbol: ENS) with a 0.692259244897959% weight, Vishay Intertechnology, Inc. (Symbol: VSH) with a 0.608150244897959% weight, Cabot Corp. (Symbol: CBT) with a 0.604996244897959% weight, Worthington Industries, Inc. (Symbol: WOR) with a 0.574698244897959% weight, Century Aluminum Co. (Symbol: CENX) with a 0.510409244897959% weight, BancorpSouth Bank (Symbol: BXS) with a 0.470733244897959% weight, Columbia Banking System, Inc. (Symbol: COLB) with a 0.418205244897959% weight, Oil States International, Inc. (Symbol: OIS) with a 0.226047244897959% weight
Amount:	$4 million
Maturity:	Oct. 31, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	99.5% times the sum of par plus the basket return
Final level:	Average of basket closing levels on five trading days ending Oct. 26, 2022
Initial share prices:	$15.79 for Marathon, $162.10 for Capital One, $48.15 for MGM, $89.24 for Hess, $190.76 for Pioneer, $339.45 for United Rentals, $386.31 for Goldman, $64.15 for MetLife, $67.02 for Principal Financial, $55.29 for BNY Mellon, $191.34 for T. Rowe Price, $153.39 for Eaton, $98.71 for Brunswick, $158.67 for Celanese, $21.45 for U.S. Steel, $149.23 for M&T, $27.05 for Unum, $96.28 for LyondellBasell, $124.27 for Ametek, $103.82 for Eastman, $40.56 for Jefferies, $14.42 for NOV, $97.92 for Oshkosh, $184.68 for WEX, $110.91 for ManpowerGroup, $151.93 for Affiliated Managers, $41.32 for KBR, $31.83 for American Equity, $7.71 for TechnipFMC, $69.62 for Timken, $117.79 for Nabors, $115.44 for Woodward, $34.32 for Flowserve, $20.09 for Umpqua, $72.99 for Prosperity, $24.28 for Dana, $16.82 for Allegheny, $25.44 for CNO, $28.73 for Trinity, $8.96 for Patterson-UTI, $10.46 for American Axle, $76.72 for EnerSys, $19.25 for Vishay, $51.50 for Cabot, $51.72 for Worthington, $15.83 for Century, $30.58 for BancorpSouth, $34.42 for Columbia, $6.80 for Oil State
Strike date:	Oct. 13
Pricing date:	Oct. 14
Settlement date:	Oct. 19
Agent:	J.P. Morgan Securities Inc.
Fees:	0.75%
Cusip:	48129KBJ8

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