Published on 11/6/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.2 million contingent interest autocalls on Russell ETF, Stoxx, S&P
By Kiku Steinfeld
Chicago, Nov. 8 – JPMorgan Chase Financial Co. LLC priced $2.2 million of autocallable contingent interest notes due July 13, 2023 linked to the least performing of the Euro Stoxx 50 index, the iShares Russell 2000 Value 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 quarterly coupon at an annual rate of 8% if each asset 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 asset closes at or above its initial level on any quarterly review date other than the final one.
If the notes have not been called, the payout at maturity will be par unless any asset closes below its 50% trigger level during the life of the notes and any asset finishes below its initial level, in which case investors will lose 1% for every 1% that the worst performer finishes below 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: | iShares Russell 2000 Value ETF, Euro Stoxx 50 index, S&P 500 index
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Amount: | $2,203,000
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Maturity: | July 13, 2023
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Coupon: | 8% annual rate, payable quarterly if each asset closes at or above interest barrier level on review date for that period
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Price: | Par
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Payout at maturity: | Par unless any asset closes below its 50% trigger level during the life of the notes and any asset finishes below its initial level, in which case 1% loss for every 1% decline of the worst performer from its initial level
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Call: | Automatically at par plus contingent coupon if each asset closes at or above initial level on any quarterly review date other than final one
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Initial levels: | 4,391.34 for S&P, 4,073.29 for Stoxx, $164.11 for Russell
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Interest barrier: | 3,073.938 for S&P, 2,851.303 for Stoxx, $114.877 for Russell; 70% of initial levels
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Trigger levels: | 2,195.67 for S&P, 2,036.645 for Stoxx, $82.055 for Russell; 50% of initial levels
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Pricing date: | Oct. 8
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Settlement date: | Oct. 13
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Agent: | J.P. Morgan Securities LLC
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Fees: | 2.225%
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Cusip: | 48132W6U8
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