Published on 7/14/2020 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $611,000 contingent interest autocalls on S&P, Nasdaq, Russell
By Sarah Lizee
Olympia, Wash., July 14 – JPMorgan Chase Financial Co. LLC priced $611,000 of autocallable contingent interest notes due April 15, 2021 tied to the least performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at the rate of 15% per year if each index closes at or above its interest barrier level, 70% of its initial level, on the review date for that month.
The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any monthly autocall review date other than the first, second and final ones.
If the notes have not been called, the payout at maturity will be par unless any index finishes below its initial level and any index has ever closed below its 70% trigger level on any day during the life of the notes, in which case investors will lose 1% for every 1% that the least-performing index finishes below its initial level.
The notes are guaranteed by JPMorgan Chase & Co.
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 indexes: | S&P 500 index, Nasdaq-100 index and Russell 2000 index
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| Amount: | $611,000
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| Maturity: | April 15, 2021
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| Coupon: | 15% per year, payable monthly if each index closes at or above interest barrier level on review date for that month
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its initial level and any index has ever closed below its trigger level on any day during the life of the notes, in which case investors will lose 1% for every 1% that the least-performing index finishes below its initial level
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above its initial level on any monthly autocall review date other than the first, second and final ones
|
| Initial levels: | 3,185.04 for S&P, 10,836.33 for Nasdaq and 1,422.679 for Russell
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| Interest barriers: | 2,229.528 for S&P, 7,585.431 for Nasdaq and 995.8753 for Russell; 70% of initial levels
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| Trigger levels: | 2,229.528 for S&P, 7,585.431 for Nasdaq and 995.8753 for Russell; 70% of initial levels
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| Pricing date: | July 10
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| Settlement date: | July 15
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.34247%
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| Cusip: | 48132MRW3
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