Published on 8/20/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.88 million autocallable contingent interest notes on Nasdaq, S&P, Russell
By Taylor Fox
New York, Aug. 20 – JPMorgan Chase Financial Co. LLC priced $2.88 million of autocallable contingent interest notes due Aug. 9, 2022 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 11.5% if each index 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 index closes at or above its initial level on any quarterly review date other than the final date.
The payout at maturity will be par if all indexes finish above their initial levels or no index ever closes below its 60% trigger 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 indexes: | Russell 2000 index, Nasdaq-100 index and S&P 500 index
|
| Amount: | $2,876,000
|
| Maturity: | Aug. 9, 2022
|
| Coupon: | 11.5% annualized, payable quarterly if each index closes at or above interest barrier level on review date for that period
|
| Price: | Par
|
| Payout at maturity: | Par if all indexes finish above their initial levels or no index ever closes below its trigger 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
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than the final date
|
| Initial levels: | 3,871.74 for S&P, 13,560.89 for Nasdaq and 2,202.418 for Russell
|
| Interest barrier levels: | 2,710.218 for S&P, 9,492.623 for Nasdaq and 1,541.6926 for Russell; 70% of initial levels
|
| Trigger levels: | 2,323.044 for S&P, 8,136.534 for Nasdaq and 1,321.4508 for Russell; 60% of initial levels
|
| Pricing date: | Feb. 4
|
| Settlement date: | Feb. 9
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.71731%
|
| Cusip: | 48132RSC5
|
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