Published on 11/11/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $3.12 million contingent interest autocalls on Russell and EM ETFs, Nasdaq
By Wendy Van Sickle
Columbus, Ohio, Nov. 11 – JPMorgan Chase Financial Co. LLC priced $3.12 million of autocallable contingent interest notes due Aug. 8, 2024 linked to the least performing of the Nasdaq-100 index, the iShares Russell 2000 Value ETF 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 asset closes at or above its interest barrier level, 80% 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 first and final review dates.
If the notes have not been called, the payout at maturity will be par if each asset finishes at or above its 70% trigger level. Otherwise, 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, Nasdaq-100 index, iShares MSCI Emerging Markets ETF
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| Amount: | $3,116,000
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| Maturity: | Aug. 8, 2024
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| Coupon: | 7% 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: | If each asset finishes at or above trigger level, par; otherwise, 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 the first and final ones
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| Initial levels: | $50.92 for Emerging Markets, 16,359.38 for Nasdaq, $176.46 for Russell
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| Interest barrier: | $40.736 for Emerging Markets, 13,087.504 for Nasdaq, $141.168 for Russell; 80% of initial levels
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| Trigger levels: | $35.644 for Emerging Markets, 11,451.566 for Nasdaq, $123.522 for Russell; 70% of initial levels
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| Pricing date: | Nov. 5
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| Settlement date: | Nov. 10
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.7%
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| Cusip: | 48132YPL3
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