Published on 3/31/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $9.53 million trigger step securities tied to index basket
By Kiku Steinfeld
Chicago, March 31 – JPMorgan Chase Financial Co. LLC priced $9.53 million of 0% trigger step securities due March 18, 2026 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The basket consists of the Euro Stoxx 50 index with a weight of 40%, the FTSE 100 index with a weight of 17.5%, the Nikkei 225 index with a weight of 25%, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with a weight of 7.5%.
If the basket return is zero or positive, the payout at maturity will be par of $10 plus the greater of 37% and the basket return. Investors will receive par if the basket declines by 25% or less and will be fully exposed to the basket’s decline from its initial level if it declines beyond 25%.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Trigger step securities
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| Underlying indexes: | Euro Stoxx 50 index with a weight of 40%, the FTSE 100 index with a weight of 17.5%, the Nikkei 225 index with a weight of 25%, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with a weight of 7.5%
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| Amount: | $9,533,380
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| Maturity: | March 18, 2026
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If basket return is zero or positive, par plus greater of 37% and basket return; par if basket declines by 25% or less; otherwise, full exposure to decline from initial level
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| Initial index level: | 3,829.84 for Stoxx, 29,766.97 for Nikkei, 6,749.70 for FTSE, 10,867.33 for Swiss, 6,773.013 for S&P/ASX
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| Downside threshold: | 75% of initial basket level
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| Pricing date: | March 15
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| Settlement date: | March 17
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 3.5%
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| Cusip: | 48132V200
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