New Issue: JPMorgan prices $2 million capped buffered equity notes on basket of 30 stocks

By Marisa Wong

Los Angeles, March 9 – JPMorgan Chase Financial Co. LLC priced $2 million of 0% capped buffered equity notes due March 6, 2024 linked to an unequally weighted basket of 30 reference stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The reference stocks are ConocoPhillips, Exxon Mobil Corp., Citigroup Inc., Wells Fargo & Co., Charles Schwab Corp., Freeport-McMoRan Inc., Devon Energy Corp., Occidental Petroleum Corp., Schlumberger NV (Schlumberger Ltd.), Pioneer Natural Resources Co., EOG Resources, Inc., Alcoa Corp., Truist Financial Corp., Dow Inc., Valero Energy Corp., Phillips 66, Marathon Oil Corp., Synchrony Financial, Diamondback Energy, Inc., Prudential Financial, Inc., LyondellBasell Industries NV, Citizens Financial Group, Inc., United Airlines Holdings, Inc., APA Corp., Regions Financial Corp., CF Industries Holdings, Inc., KeyCorp, M&T Bank Corp., Avis Budget Group, Inc. and Baker Hughes Co. The weights are given in the table below.

If the basket finishes above its strike level, the payout at maturity will be par plus the gain, subject to a maximum return of 55%.

If the basket finishes flat or falls by up to 25%, the payout will be par. Otherwise, investors will lose 1% for each 1% basket decline from the strike level.

On the base date, Feb. 16, the closing level of the basket was set equal to 100. On any subsequent date, the closing level of the basket will be calculated as the sum of the weighted returns of the reference stocks.

The return of each reference stock on any trading day will be calculated with respect to the base date stock price.

The basket strike level is the closing level of the basket on the March 1 strike date, which was 97.99. The final basket level will be the basket closing level on the final valuation date.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped buffered equity notes
Underlying basket:	ConocoPhillips (NYSE: COP) with a 6.0000000000% weight, Exxon Mobil Corp. (NYSE: XOM) with a 6.0000000000% weight, Citigroup Inc. (NYSE: C) with a 6.0000000000% weight, Wells Fargo & Co. (NYSE: WFC) with a 6.0000000000% weight, Charles Schwab Corp. (NYSE: SCHW) with a 6.0000000000% weight, Freeport-McMoRan Inc. (NYSE: FCX) with a 5.6945985535% weight, Devon Energy Corp. (NYSE: DVN) with a 4.6025747231% weight, Occidental Petroleum Corp. (NYSE: OXY) with a 4.4827205825% weight, Schlumberger NV (Schlumberger Ltd.) (NYSE: SLB) with a 4.1930029039% weight, Pioneer Natural Resources Co. (NYSE: PXD) with a 4.0475218497% weight, EOG Resources, Inc. (NYSE: EOG) with a 3.8808474144% weight, Alcoa Corp. (NYSE: AA) with a 3.6861697331% weight, Truist Financial Corp. (NYSE: TFC) with a 3.2141205821% weight, Dow Inc. (NYSE: DOW) with a 2.9834995181% weight, Valero Energy Corp. (NYSE: VLO) with a 2.8597777592% weight, Phillips 66 (NYSE: PSX) with a 2.7452245687% weight, Marathon Oil Corp. (NYSE: MRO) with a 2.4340310093% weight, Synchrony Financial (NYSE: SYF) with a 2.3647848207% weight, Diamondback Energy, Inc. (Nasdaq: FANG) with a 2.2518046372% weight, Prudential Financial, Inc. (NYSE: PRU) with a 2.1813662656% weight, LyondellBasell Industries NV (NYSE: LYB) with a 2.1222154338% weight, Citizens Financial Group, Inc. (NYSE: CFG) with a 2.0692942471% weight, United Airlines Holdings, Inc. (Nasdaq: UAL) with a 1.9071296560% weight, APA Corp. (Nasdaq: APA) with a 1.8638036702% weight, Regions Financial Corp. (NYSE: RF) with a 1.8541656172% weight, CF Industries Holdings, Inc. (NYSE: CF) with a 1.8372979718% weight, KeyCorp (NYSE: KEY) with a 1.7860116922% weight, M&T Bank Corp. (NYSE: MTB) with a 1.7590706551% weight, Avis Budget Group, Inc. (Nasdaq: CAR) with a 1.6574906094% weight and Baker Hughes Co. (Nasdaq: BKR) with a 1.5214755261% weight
Amount:	$2 million
Maturity:	March 6, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket finishes above its strike level, par plus the gain, capped at 55%; if the basket finishes flat or falls by up to 25%, par; otherwise, 1% loss for each 1% basket decline from the strike level
Base date basket level:	100
Basket strike level:	97.99, closing level of the basket on strike date
Final basket level:	Basket closing level on March 1, 2024
Base date share price:	$90.210 for ConocoPhillips, $78.350 for Exxon, $66.950 for Citigroup, $58.140 for Wells Fargo, $89.330 for Schwab, $44.250 for Freeport-McMoRan, $53.850 for Devon, $39.650 for Occidental, $41.690 for Schlumberger, $222.480 for Pioneer, $111.770 for EOG, $77.840 for Alcoa, $64.710 for Truist, $62.080 for Dow, $88.040 for Valero, $88.300 for Phillips, $21.070 for Marathon, $44.850 for Synchrony, $129.820 for Diamondback, $118.160 for Prudential, $103.150 for LyondellBasell, $55.230 for Citizens, $50.210 for United, $32.400 for APA, $25.240 for Regions, $74.420 for CF, $26.610 for KeyCorp, $186.100 for M&T, $174.800 for Avis and $29.710 for Baker Hughes
Strike date closing price:	$96.96 for ConocoPhillips, $79.16 for Exxon, $58.57 for Citigroup, $50.29 for Wells Fargo, $77.86 for Schwab, $47.92 for Freeport-McMoRan, $59.25 for Devon, $46.79 for Occidental, $37.67 for Schlumberger, $240.47 for Pioneer, $116.41 for EOG, $79.78 for Alcoa, $58.15 for Truist, $57.13 for Dow, $80.63 for Valero, $82.17 for Phillips, $22.89 for Marathon, $39.47 for Synchrony, $136.81 for Diamondback, $105.78 for Prudential, $93.41 for LyondellBasell, $48.56 for Citizens, $41.85 for United, $37.28 for APA, $22.11 for Regions, $82.36 for CF, $22.99 for KeyCorp, $169.86 for M&T, $180.30 for Avis, $28.35 for Baker Hughes
Base date:	Feb. 16
Strike date:	March 1
Pricing date:	March 2
Settlement date:	March 7
Agent:	J.P. Morgan Securities LLC
Fees:	1.5%
Cusip:	48133DRM4

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