Published on 9/15/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.73 million contingent interest autocalls on three indexes
By William Gullotti
Buffalo, N.Y., Sept. 15 – JPMorgan Chase Financial Co. LLC priced $2.73 million of autocallable contingent interest notes due March 14, 2024 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 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 monthly coupon at an annual rate of 6.5% if each index closes at or above its interest barrier level, 80% of its initial level, on the review date for that period.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any monthly review date after one year.
If the notes are not called and each index finishes at or above its interest barrier, the payout at maturity will be par plus the final coupon.
If the worst performer falls below the interest barrier but finishes at or above its 70% trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
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 index, Nasdaq-100 index, S&P 500 index
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Amount: | $2,732,000
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Maturity: | March 14, 2024
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Coupon: | 6.5% annual rate, payable monthly if each index closes at or above interest barrier level on review date for that period
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Price: | Par
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Payout at maturity: | If all indexes finish at or above interest barrier, par plus final coupon; if the worst performer falls below the interest barrier but finishes at or above trigger level, par; otherwise, 1% loss for each 1% decline of least performing index from initial level
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Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on any monthly review date after one year
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Initial levels: | 4,493.28 for S&P, 15,561.05 for Nasdaq, 2,249.129 for Russell
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Interest barrier: | 3,594.624 for S&P, 12,448.84 for Nasdaq, 1,799.3032 for Russell; 80% of initial levels
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Trigger levels: | 3,145.296 for S&P, 10,892.735 for Nasdaq, 1,574.3903 for Russell; 70% of initial levels
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Pricing date: | Sept. 9
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Settlement date: | Sept. 14
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Agent: | J.P. Morgan Securities LLC
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Fees: | 2.6%
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Cusip: | 48132WQS1
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