Published on 5/17/2022 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.75 million autocallable accelerated barrier notes on indexes, ETF
By Kiku Steinfeld
Chicago, May 17 – JPMorgan Chase Financial Co. LLC priced $1.75 million of 0% autocallable accelerated barrier notes due Oct. 17, 2024 linked to the S&P 500 index, Nasdaq-100 index and iShares Russell 2000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically on Oct. 17, 2022 at a premium of 18.5% if the worst performing asset closes at or above 100% of its initial value.
If the worst performing asset gains, the payout will be par plus 150% of the worst performing asset return. Investors will receive par if the worst performing asset declines but ends at or above its 70% barrier. Investors will lose 1% for every 1% that the worst performing asset declines if it finishes below the barrier level.
The notes are guaranteed by JPMorgan Chase & Co.
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 accelerated barrier notes
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| Underlying assets: | S&P 500 index, Nasdaq-100 index and iShares Russell 2000 Value ETF
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| Amount: | $1,751,000
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| Maturity: | Oct. 17, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If worst performing asset finishes at or above its initial value, par plus 150% of worst performing asset return; if worst performing asset declines but finishes at or above its downside threshold level, par; 1% loss for every 1% that worst performing asset declines if it finishes below its downside threshold level
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| Initial level: | 15,052.42 for Nasdaq, 4,438.26 for S&P, $166.12 for ETF
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| Downside threshold: | 10,536.694 for Nasdaq, 3,106.782 for S&P, $116.284 for ETF, 70% of initial level
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| Call: | Automatically on Oct. 17, 2022 at a premium of 18.5% if the worst performing asset closes above 100% of its initial value
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| Pricing date: | Oct. 14, 2021
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| Settlement date: | Oct. 19, 2021
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.7147%
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| Cusip: | 48132YAB1
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