Published on 10/5/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $3.81 million autocallable contingent interest notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Oct. 5 – JPMorgan Chase Financial Co. LLC priced $3.81 million of autocallable contingent interest notes due July 5, 2023 linked to the least performing of the Nasdaq-100 index, the S&P 500 index and the iShares Russell 2000 Value 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 monthly coupon at an annual rate of 10.25% if each underlier 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 underlier closes at or above its initial level on any monthly review date other than the first, second and final review dates.
The payout at maturity will be par plus the final coupon if each underlier finishes at or above its interest barrier.
If the worst performer finishes below its interest barrier but at or above its 60% trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from 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: | S&P 500 index, Nasdaq-100 index, iShares Russell 2000 Value ETF
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| Amount: | $3,805,000
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| Maturity: | July 5, 2023
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| Coupon: | 10.25% annual rate, payable monthly if each underlier 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 underlier finishes at or above interest barrier, par plus final coupon; if the worst performer finishes below coupon barrier but at or above trigger level, par; otherwise, lose 1% for every 1% decline of worst performer from initial level
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| Call: | Automatically at par plus contingent coupon if each underlier closes at or above initial level on any monthly review date other than the first, second and final dates
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| Initial levels: | $161.94 for ETF, 14,752.89 for Nasdaq, 4,359.46 for S&P
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| Interest barrier: | $113.358 for ETF, 10,327.023 for Nasdaq, 3,051.622 for S&P; 70% of initial levels
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| Trigger levels: | $97.164 for ETF, 8,851.734 for Nasdaq, 2,615.676 for S&P; 60% of initial levels
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| Pricing date: | Sept. 29
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| Settlement date: | Oct. 4
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.65%
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| Cusip: | 48132W3Y3
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