Published on 2/10/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.34 million capped buffered notes on index basket
By Wendy Van Sickle
Columbus, Ohio, Feb. 10 – JPMorgan Chase Financial Co. LLC priced $1.34 million of 0% capped buffered equity notes due Feb. 1, 2023 linked to a basket of the S&P 500 index with a 50% weight, the Euro Stoxx 50 index with an 18% weight, the Topix index with a 13.5% weight, the FTSE 100 index with a 10% weight, the Swiss Market index with a 4.5% weight and the S&P/ASX 200 index with a 4% weight, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If the final level of the basket is greater than its initial level, the payout at maturity will be par plus the basket’s return, capped at 24.25%.
If the final basket level is less than the initial basket level by up to 10%, the payout will be par.
If the final basket level is less than the initial basket level by more than 10%, investors will lose 1% for every 1% that the basket declines beyond 10%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Capped buffered equity notes
|
| Underlying assets: | S&P 500 index (50% weight), Euro Stoxx 50 index (18% weight), Topix index (13.5% weight), FTSE 100 index (10% weight), Swiss Market index (4.5% weight) and S&P/ASX 200 index (4% weight)
|
| Amount: | $1.34 million
|
| Maturity: | Feb. 1, 2023
|
| Coupon: | 0%
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| Price: | Par
|
| Payout at maturity: | If final basket level is greater than initial level, par plus basket’s return, capped at 24.25%; if basket falls by up to 10%, par; if final basket level is less than initial level by more than 10%, 1% loss for every 1% that basket declines beyond 10% buffer
|
| Initial levels: | 3,750.77.104 for S&P, 3,536.38 for Stoxx, 1,806.067 for Topix, 6,567.37 for FTSE, 10,904.24 for Swiss Market, 6,780.566 for S&P/ASX 200
|
| Buffer level: | 90% of initial level
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| Pricing date: | Jan. 27
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| Settlement date: | Feb. 1
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.85%
|
| Cusip: | 48132RND8
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