Published on 12/13/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.6 million contingent interest autocalls on Russell, Nasdaq, S&P
By William Gullotti
Buffalo, N.Y., Dec. 13 – JPMorgan Chase Financial Co. LLC priced $1.6 million of autocallable contingent interest notes due June 13, 2023 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 quarterly coupon at an annual rate of 6.5% if each index closes at or above its interest barrier level, 75% 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 quarterly review date other than the first and final review dates.
The payout at maturity will be par plus the final coupon if each index finishes at or above its interest barrier.
If the worst performer finishes below its interest barrier but at or above its 70% trigger value, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline from the worst performer’s 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: | $1.6 million
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| Maturity: | June 13, 2023
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| Coupon: | 6.5% annual rate, payable quarterly 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: | Par plus the final coupon if each index finishes at or above its interest barrier; if worst performer finishes below interest barrier but not below 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 quarterly review date other than the first and final ones
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| Initial levels: | 4,701.21 for S&P, 16,394.34 for Nasdaq, 2,271.706 for Russell
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| Interest barrier: | 3,525.9075 for S&P, 12,295.755 for Nasdaq, 1,703.7795 for Russell; 75% of initial levels
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| Trigger levels: | 3,290.847 for S&P, 11,476.038 for Nasdaq, 1,590.1942 for Russell; 70% of initial levels
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| Pricing date: | Dec. 8
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| Settlement date: | Dec. 13
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.225%
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| Cusip: | 48132YS48
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