Published on 9/8/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $5.02 million contingent interest autocalls on S&P, Russell, Nasdaq
By William Gullotti
Buffalo, N.Y., Sept. 8 – JPMorgan Chase Financial Co. LLC priced $5.02 million of autocallable contingent interest notes due June 2, 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% 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 any final coupon due unless any index finishes below its 70% trigger value, in which case investors will lose 1% for each 1% decline of 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: | $5,024,000
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Maturity: | June 2, 2023
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Coupon: | 6% 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 any final coupon due unless any index finishes below trigger level, in which case 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: | 4,509.37 for S&P, 15,432.95 for Nasdaq, 2,277.151 for Russell
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Interest barrier: | 3,382.0275 for S&P, 11,574.7125 for Nasdaq, 1,707.86325 for Russell; 75% of initial levels
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Trigger levels: | 3,156.559 for S&P, 10,803.065 for Nasdaq, 1,594.0057 for Russell; 70% of initial levels
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Pricing date: | Aug. 27
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Settlement date: | Sept. 1
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Agent: | J.P. Morgan Securities LLC
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Fees: | 2.225%
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Cusip: | 48132WHD4
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