Published on 3/23/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $3.37 million trigger autocallable contingent yield notes on MSCI EM, Stoxx
By Taylor Fox
New York, March 23 – JPMorgan Chase Financial Co. LLC priced $3.37 million of trigger autocallable contingent yield notes due March 14, 2024 linked to the Euro Stoxx 50 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes will pay a contingent coupon at the rate of 8.2% per year if each index closes at or above the coupon barrier, 70% of the initial level, on the observation date for that quarter.
The notes will be automatically called at par of $10 if each index closes at or above the initial level on any quarterly observation date after six months.
If the notes are not called and the final level is greater than or equal to the downside threshold level, 60% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final level is less than the initial level.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying indexes: | MSCI Emerging Markets index, Euro Stoxx 50 index
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| Amount: | $3,369,000
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| Maturity: | March 14, 2024
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| Contingent coupon: | 8.2% annual rate, payable quarterly if each index closes at or above coupon barrier level on related quarterly observation date
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| Price: | Par of $10
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| Payout at maturity: | Par unless index finishes below downside threshold level, in which case 1% loss for each 1% decline from initial price
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| Call: | Automatically at par if index closes at or above initial level on any quarterly observation date after six months
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| Initial price: | 1,324.90 for EM, 3,819.92 for Stoxx
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| Coupon barrier: | 927.43 for EM, 2,673.94 for Stoxx, 70% of initial price
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| Threshold level | 794.94 for EM, 2,291.95 for Stoxx, 60% of initial price
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| Pricing date: | March 10
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| Settlement date: | March 15
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 48132V861
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