Published on 11/5/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $423,000 step-up autocallable barrier notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Nov. 5 – JPMorgan Chase Financial Co. LLC priced $423,000 of step-up autocallable barrier notes due Nov. 5, 2026 linked to the performance of the S&P 500 index, the Nasdaq-100 index and the iShares Russell 2000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will be automatically called at par plus a 15.15% annualized call premium if each underlier closes at or above its call level on any annual review date. The call level will be 105% of the initial level on the first review date and will step up to 110% of the initial level for the second through final review dates.
The payout at maturity will be par plus any gain of the least performing underlier.
Investors will receive par if any underlier declines up to the 70% barrier level. 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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| Issue: | Step-up autocallable barrier notes
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| Underlying assets: | S&P 500 index, Nasdaq-100 index, iShares Russell 2000 Value ETF
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| Amount: | $423,000
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| Maturity: | Nov. 5, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus any gain of the least performing underlier; par if all underliers finish at or above barrier level; otherwise, 1% loss for each 1% decline of worst performer from its initial level
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| Call: | Automatically called at par plus call premium of 15.15% per year if each underlier closes at or above its call level on any annual review date; call level will be 105% of the initial level on the first review date, stepping up to 110% of initial level for the second through final review dates
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| Initial levels: | $171.33 for ETF, 4,630.65 for S&P, 15,972.49 for Nasdaq
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| Barrier levels: | $119.931 for ETF, 3,241.455 for S&P, 11,180.743 for Nasdaq; 70% of initial levels
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| Pricing date: | Nov. 2
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| Settlement date: | Nov. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.75%
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| Cusip: | 48132YKT1
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