Published on 7/18/2023 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.86 million autocallable contingent interest notes on S&P, Dow, Russell
By William Gullotti
Buffalo, N.Y., July 18 – JPMorgan Chase Financial Co. LLC priced $2.86 million of autocallable contingent interest notes due Jan. 16, 2025 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, 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 through fifth and final review dates.
If the notes are not called, 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 75% 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, S&P 500 index, Dow Jones industrial average
|
| Amount: | $2,856,000
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| Maturity: | Jan. 16, 2025
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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
|
| Price: | Par
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| Payout at maturity: | Par plus the final coupon if each index finishes at or above interest barrier; if worst performer finishes below its interest barrier but at or above trigger level, par; otherwise, 1% loss for each 1% decline of least performing index from initial level
|
| 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 through fifth and final ones
|
| Initial levels: | 34,261.42 for Dow, 4,439.26 for S&P, 1,913.361 for Russell
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| Interest barrier: | 27,409.136 for Dow, 3,551.408 for S&P, 1,530.6888 for Russell; 80% of initial levels
|
| Trigger levels: | 25,696.065 for Dow, 3,329.445 for S&P, 1,435.02075 for Russell; 75% of initial levels
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| Pricing date: | July 11
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| Settlement date: | July 14
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 48133X7B6
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