Published on 12/10/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.14 million autocallable contingent interest notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Dec. 10 – JPMorgan Chase Financial Co. LLC priced $2.14 million of autocallable contingent interest notes due Sept. 12, 2024 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, 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 7% if each underlier closes at or above its interest barrier level, 80% of its initial level, on the review date for that period. Previously unpaid coupons, if any, will be automatically included whenever a contingent payment is made.
The notes will be called at par plus the contingent coupon if each underlier 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 the final coupon if each underlier finishes at or above its interest barrier.
If the worst performer finishes below its interest barrier but at or above its 70% trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 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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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlying assets: | Russell 2000 index, Nasdaq-100 index, iShares MSCI Emerging Markets ETF
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| Amount: | $2,135,000
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| Maturity: | Sept. 12, 2024
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| Coupon: | 7% annual rate, payable quarterly if each underlier closes at or above interest barrier level on review date for that period; coupon payment events will automatically include any previously unpaid coupons
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| Price: | Par
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| Payout at maturity: | If each underlier finishes at or above interest barrier, par plus final coupon; if the worst performer finishes below coupon barrier but at or above trigger level, par; otherwise, lose 1% for every 1% decline of worst performer from initial level
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| Call: | Automatically at par plus contingent coupon if each underlier closes at or above initial level on any quarterly review date other than the first and final dates
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| Initial levels: | $50.08 for ETF, 16,325.66 for Nasdaq, 2,253.788 for Russell
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| Interest barrier: | $40.064 for ETF, 13,060.528 for Nasdaq, 1,803.0304 for Russell; 80% of initial levels
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| Trigger levels: | $35.056 for ETF, 11,427.962 for Nasdaq, 1,577.6516 for Russell; 70% of initial levels
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| Pricing date: | Dec. 7
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| Settlement date: | Dec. 10
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.7%
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| Cusip: | 48132Y2W4
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