Published on 11/21/2020 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.53 million autocallable contingent interest notes on indexes
By Taylor Fox
New York, Nov. 23 – JPMorgan Chase Financial Co. LLC priced $1.53 million of autocallable contingent interest notes due May 11, 2023 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent quarterly coupon at an annual rate of 6.9% if each index closes at or above its interest barrier level, 70% of its initial level, on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date other than the first and final review dates.
The payout at maturity will be par plus any final coupon unless any index finishes below 65% trigger value, in which case investors will lose 1% for each 1% decline of the lesser performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlying indexes: | Russell 2000, S&P 500 and Nasdaq-100
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| Amount: | $1,534,000
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| Maturity: | May 11, 2023
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| Coupon: | 6.9% annualized, payable quarterly if each index closes at or above interest barrier level on review date for that quarter
|
| Price: | Par
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| Payout at maturity: | Par plus any final coupon unless any index finishes below its 65% trigger value, in which case full exposure to losses of worst performer
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than first and final review dates
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| Initial levels: | 1,644.159 for Russell, 12,091.35 for Nasdaq, 3,509.44 for S&P
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| Interest barrier: | 1,150.9113 for Russell, 8,463.945 for Nasdaq, 2,456.608 for S&P, 70% of initial levels
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| Trigger levels: | 1,068.70335 for Russell, 7,859.3775 for Nasdaq, 2,281.136 for S&P, 65% of initial levels
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| Pricing date: | Nov. 6
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| Settlement date: | Nov. 12
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.76506%
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| Cusip: | 48132PWJ9
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