Published on 7/22/2020 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $4.71 million contingent coupon autocallable yield notes on indexes, ETF
By Kiku Steinfeld
Chicago, July 22 – JPMorgan Chase Financial Co. LLC priced $4.71 million of contingent coupon autocallable yield notes due July 21, 2022 to the Dow Jones industrial average, the Nasdaq-100 index and the iShares Russell 1000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes pay a contingent quarterly coupon at an annual rate of 12.125% if each asset closes above its 70% barrier on the observation date for that quarter.
The notes will be called at par if each asset closes at or above its initial level on any quarterly observation date other than the final one.
If the notes are not called, the payout at maturity will be par unless any asset finishes below its barrier, in which case investors will be fully exposed to the decline of the least-performing asset.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | Dow Jones industrial average, the Nasdaq-100 index and the iShares Russell 1000 Value ETF
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| Amount: | $4,710,000
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| Maturity: | July 21, 2022
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| Coupon: | 12.125% per year, payable quarterly if each asset closes at or above barrier level on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | Par plus the final coupon unless any asset finishes below its barrier level, in which case 1% loss for each 1% decline of the worst-performing asset
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| Call option: | At par if each index closes at or above its initial level on any quarterly observation date other than final one
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| Initial levels: | 26,671.95 for Dow, 10,645.22 for Nasdaq, $117.24 for ETF
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| Barrier levels: | 18,670.365 for Dow, 7,451.654 for Nasdaq, $82.068 for ETF, 70% of initial levels
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| Pricing date: | July 17
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| Settlement date: | July 23
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 48132MUR0
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