Published on 8/19/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.88 million autocallable contingent interest notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Aug. 19 – JPMorgan Chase Financial Co. LLC priced $2.88 million of autocallable contingent interest notes due Aug. 16, 2022 linked to the least performing of the Nasdaq-100 index, the iShares Russell 2000 ETF 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 6.5% if each underlying closes at or above its interest barrier level, 70% of its initial level, on the review date for that period.
The notes will be called at par plus the contingent coupon if each underlying 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 all three assets close above their initial levels. Investors might also receive par if no asset closes below 70% of initial level at any point during the life of the notes. Otherwise, investors will lose 1% for each 1% decline from the worst performer’s initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying assets: | iShares Russell 2000 ETF, Nasdaq-100 index, S&P 500 index
|
| Amount: | $2,884,000
|
| Maturity: | Aug. 16, 2022
|
| Coupon: | 6.5% annual rate, payable monthly if each underlying closes at or above interest barrier level on review date for that period
|
| Price: | Par
|
| Payout at maturity: | Par if no asset closes below initial level; par if no asset every finishes trigger level; otherwise, 1% loss for each 1% decline of worst performer from initial level
|
| Call: | Automatically at par plus contingent coupon if each underlying closes at or above initial level on any monthly review date other than the first, second and final
|
| Initial levels: | 4,152.1 for S&P, 13,351.27 for Nasdaq, $218.96 for ETF
|
| Interest barrier levels: | 2,906.47 for S&P, 9,345.889 for Nasdaq, $153.272 for ETF; 70% of initial levels
|
| Trigger levels: | 2,906.47 for S&P, 9,345.889 for Nasdaq, $153.272 for ETF; 70% of initial levels
|
| Pricing date: | May 11
|
| Settlement date: | May 14
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.225%
|
| Cusip: | 48132TM29
|
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