Published on 11/2/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $10 million review notes on S&P, Russell, MSCI Emerging Markets ETF
By William Gullotti
Buffalo, N.Y., Nov. 2 – JPMorgan Chase Financial Co. LLC priced $10 million of 0% review notes due Oct. 10, 2024 linked to the performance of the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will be called at par plus an annualized call premium of 11.5% if each underlier closes at or above initial levels on any annual valuation date.
If the notes are not called and each underlier finishes at or above 75% of its initial level, the payout at maturity will be par plus 34.5%. Otherwise, investors will lose 1% for each 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: | Review notes
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| Underlying assets: | S&P 500 index, Russell 2000 index, iShares MSCI Emerging Markets ETF
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| Amount: | $10 million
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| Maturity: | Oct. 10, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 34.5% unless any underlier finishes below trigger value, in which case full exposure to decline of the worst performer from its initial value
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| Call: | At par plus an annualized call premium of 11.5% if each underlier closes at or above its initial level on any annual call valuation date
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| Initial values: | $49.62 for ETF, 4,352.1 for S&P, 2,212.048 for Russell
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| Trigger values: | 75% of initial values
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| Strike date: | Oct. 6
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| Pricing date: | Oct. 7
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| Settlement date: | Oct. 13
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.5%
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| Cusip: | 48132WY78
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