$13,322,000 Auto Callable Contingent Interest Notes Linked to the Class A Common Stock of Twilio Inc. due October 31, 2023, priced on October 28, 2021, were issued by JPMorgan Chase Financial Company LLC. The pricing supplement for this note (CUSIP: 48132YGB5) can be found here. The notes had a $1,000 face value and paid a quarterly coupon of $37.50, so long as the notes had not been called and and Twilio all closed above 73% of their October 28, 2021 closing prices on a determination date. If and Twilio closed below 73% of their October 28, 2021 closing prices on a determination date, the notes did not pay a coupon. If not previously called, at maturity, the notes returned $1,000 in principal if and Twilio all closed on the final determination date on October 26, 2023 and above 73% of their October 28, 2021 closing prices. If on October 26, 2023 and Twilio closed below 73% of their October 28, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of and Twilio October 26, 2023 closing prices to their October 28, 2021 closing prices. The notes have matured. They didn't pay any coupon and $178.11 repayment per $1,000 note. Investors thus suffered capital losses of $821.89 and net losses of $821.89.† In the aggregate, investors in this note suffered $10,949,166 in capital losses and $10,949,166 in net losses. See Table 1 and Figure 1.
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