New Issue: JPMorgan sells $500,000 return notes on Covid-19 international recovery basket

By Kiku Steinfeld

Chicago, Aug. 10 – JPMorgan Chase Financial Co. LLC priced $500,000 of 0% return notes due Aug. 2, 2022 linked to the J.P. Morgan Covid-19 international recovery basket consisting of 33 unequally weighted reference stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The stocks are Ford Motor Co. (4.265242% weight), Nucor Corp. (4.251969% weight), Deere & Co. (4.057435% weight), Expedia Group, Inc. (3.901554% weight), Goldman Sachs Group, Inc. (3.817183% weight), Morgan Stanley (3.783175% weight), American Express Co. (3.714864%weight), Norwegian Cruise Line Holdings Ltd. (3.516522%%weight), Eaton Corp. plc (3.375718% weight), Delta Air Lines, Inc. (3.298652% weight), Starbucks Corp. (3.232285% weight), Walt Disney Co. (3.220580% weight), Caterpillar Inc. (3.162162% weight), Wynn Resorts, Ltd. (3.059754%weight), Dow Inc. (3.013571% weight), Royal Caribbean Cruises, Ltd. (3.010873% weight), United Airlines Holdings, Inc. (3.004413% weight), DuPont de Nemours, Inc. (2.999035% weight), ConocoPhillips (2.939165% weight), Exxon Mobil Corp. (2.814748% weight), CBRE Group, Inc. (2.703012% weight), Citigroup Inc. (2.701001%weight), Boeing Co. (2.643854% weight), MasterCard Inc. (2.630019% weight), Booking Holdings Inc. (2.617530% weight), Visa Inc. (2.607061% weight), Iron Mountain Inc. (2.603626%weight), Coca-Cola Co. (2.383495% weight), International Flavors & Fragrances Inc. (2.357137% weight), Chevron Corp. (2.321514% weight), Las Vegas Sands Corp. (2.300785% weight), Restaurant Brands International Inc. (1.853596% weight) and Newell Brands Inc. (1.838470% weight).

For each $1,000 principal amount of notes, the payout at maturity will be par times a basket return factor of 98.25%.

Because the basket adjustment factor is 98.25%, investors will lose some or all of the principal amount at maturity if the basket return reflects a decline in the closing level of the basket of more than about 1.78117%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Return notes
Underlying stocks:	Ford Motor Co. (4.265242% weight), Nucor Corp. (4.251969% weight), Deere & Co. (4.057435% weight), Expedia Group, Inc. (3.901554% weight), Goldman Sachs Group, Inc. (3.817183% weight), Morgan Stanley (3.783175% weight), American Express Co. (3.714864%weight), Norwegian Cruise Line Holdings Ltd. (3.516522%%weight), Eaton Corp. plc (3.375718% weight), Delta Air Lines, Inc. (3.298652% weight), Starbucks Corp. (3.232285% weight), Walt Disney Co. (3.220580% weight), Caterpillar Inc. (3.162162% weight), Wynn Resorts, Ltd. (3.059754%weight), Dow Inc. (3.013571% weight), Royal Caribbean Cruises, Ltd. (3.010873% weight), United Airlines Holdings, Inc. (3.004413% weight), DuPont de Nemours, Inc. (2.999035% weight), ConocoPhillips (2.939165% weight), Exxon Mobil Corp. (2.814748% weight), CBRE Group, Inc. (2.703012% weight), Citigroup Inc. (2.701001%weight), Boeing Co. (2.643854% weight), MasterCard Inc. (2.630019% weight), Booking Holdings Inc. (2.617530% weight), Visa Inc. (2.607061% weight), Iron Mountain Inc. (2.603626%weight), Coca-Cola Co. (2.383495% weight), International Flavors & Fragrances Inc. (2.357137% weight), Chevron Corp. (2.321514% weight), Las Vegas Sands Corp. (2.300785% weight), Restaurant Brands International Inc. (1.853596% weight) and Newell Brands Inc. (1.838470% weight)
Amount:	$500,000
Maturity:	Aug. 2, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	Par times 98.25% basket return factor
Strike date:	July 15
Pricing date:	July 16
Settlement date:	July 21
Initial levels:	Ford Motor at $14.01, Nucor at $95.42, Deere at $346.1, Expedia Group at $169.2, The Goldman Sachs Group at $373.35, Morgan Stanley at $92.63, American Express at $172.85, Norwegian Cruise Line at $24.45, Eaton at $153.87, Delta Air Lines at $41.35, Starbucks at $118.97, Walt Disney at $184.15, Caterpillar at $211.41, Wynn Resorts at $108.23, Dow at $61.91, Royal Caribbean Cruises at $74.21, United Airlines Holdings at $47.71, DuPont de Nemours at $79.55, ConocoPhillips at $57.08, Exxon Mobil at $58.95, CBRE Group at $83.5, Citigroup at $68.45, The Boeing at $222.76, MasterCard at $390.23, Booking Holdings at $2169.39, Visa at $248.55, Iron Mountain at $44.05, Coca-Cola at $144.71, International Flavors & Fragrances at $144, Chevron at $101.3, Las Vegas Sands at $56.44, Restaurant Brands International at $63.83, Newell Brands at $27.05
Agent:	J.P. Morgan Securities Inc.
Fees:	0.75%
Cusip:	48129KBG4

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