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Published on 5/26/2023 in the Prospect News Structured Products Daily.

New Issue: JPMorgan sells $630,000 0% notes tied to basket of six currencies

By Kiku Steinfeld

Chicago, May 26 – JPMorgan Chase Financial Co. LLC priced $630,000 of 0% notes due Feb. 7, 2024 based on a basket of unequally weighted currencies versus the U.S. dollar, 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 105.1% of any basket gain, subject to an effective maximum return of 105.1%.

Investors will receive par if the basket falls or finishes flat.

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 105.10%, the additional amount will be at most $1,051 per $1,000 principal amount note, and the payment at maturity will be at most $2,051 per $1,000 principal amount.

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:Notes
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)
Amount:$630,000
Maturity:Feb. 7, 2024
Coupon:0%
Price:Par
Payout at maturity:105.1% of any basket gain, subject to effective maximum return of 105.1%; par if basket falls or finishes flat
Initial spot rates:1.08220 for euro, 130.220 for yen, 1.23650 for pound sterling, 1.34610 for Canadian dollar, 10.3410 for krona and 0.92205 for Swiss franc
Pricing date:Jan. 20, 2023
Settlement date:Jan. 25, 2023
Agents:J.P. Morgan Securities LLC
Fees:1%
Cusip:48133U2G6

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