Published on 12/31/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $4.29 million contingent interest autocalls on three indexes
By William Gullotti
Buffalo, N.Y., Dec. 31 – JPMorgan Chase Financial Co. LLC priced $4.29 million of autocallable contingent interest notes due May 16, 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 8% 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 other than the first, second 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 will be par. 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: | 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: | $4,285,000
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Maturity: | May 16, 2024
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Coupon: | 8% 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: | 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 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 monthly review date other than the first, second and final ones
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Initial levels: | 4,682.85 for S&P, 16,199.88 for Nasdaq, 2,411.776 for Russell
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Interest barrier: | 3,746.28 for S&P, 12,959.904 for Nasdaq, 1,929.4208 for Russell; 80% of initial levels
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Trigger levels: | 3,277.995 for S&P, 11,339.916 for Nasdaq, 1,688.2432 for Russell; 70% of initial levels
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Pricing date: | Nov. 12
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Settlement date: | Nov. 17
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.48057%
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Cusip: | 48132YA54
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