Published on 11/6/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $5.29 million contingent interest autocalls on Russell ETF, Nasdaq, S&P
By Kiku Steinfeld
Chicago, Nov. 8 – JPMorgan Chase Financial Co. LLC priced $5.29 million of autocallable contingent interest notes due July 12, 2023 linked to the least performing of the Nasdaq-100 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 monthly coupon at an annual rate of 8.5% 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 monthly review date other than the first, second 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, S&P 500 index
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| Amount: | $5,289,000
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| Maturity: | July 12, 2023
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| Coupon: | 8.5% annual rate, payable monthly 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 monthly review date other than the first, second and final ones
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| Initial levels: | 4,399.76 for S&P, 14,897.13 for Nasdaq, $164.52 for Russell
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| Interest barrier: | 3,079.832 for S&P, 10,427.991 for Nasdaq, $115.164 for Russell; 70% of initial levels
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| Trigger levels: | 3,079.832 for S&P, 10,427.991 for Nasdaq, $115.164 for Russell; 70% of initial levels
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| Pricing date: | Oct. 7
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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: | 48132WM97
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