Published on 7/25/2022 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $7.35 million capped buffered enhanced participation notes on index basket
By William Gullotti
Buffalo, N.Y., July 25 – JPMorgan Chase Financial Co. LLC priced $7.35 million of 0% capped buffered enhanced participation notes due Oct. 11, 2024 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 36% weight, the Topix index with a 26% weight, the FTSE 100 index with a 17% weight, the Swiss Market index with an 12% weight and the S&P/ASX 200 index with an 9% weight.
If the basket return is positive, the payout at maturity will be par plus 1.8 times the basket return, up to the maximum settlement amount of par plus 83.16%.
Investors will receive par if the basket declines by 15% or less and will lose 1.1765% for every 1% that it declines beyond 15%.
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: | Capped buffered enhanced participation notes
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Underlying basket: | Euro Stoxx 50 (36% weight), Topix (26% weight), FTSE 100 (17% weight), Swiss Market (12% weight) and S&P/ASX 200 (9% weight)
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Amount: | $7,351,000
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Maturity: | Oct. 11, 2024
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If basket return is positive, par plus 1.8 times basket return, up to the maximum settlement amount of par plus 83.16%; par if basket declines by 15% or less; 1.1765% loss for every 1% that basket declines beyond 15%
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Initial levels: | 3,585.24 for Stoxx, 1,946.44 for Topix, 7,264.31 for FTSE, 11,059.49 for Swiss Market, 6,759.209 for S&P/ASX
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Buffer level: | 85% of initial basket level
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Pricing date: | July 20
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Settlement date: | July 27
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Agent: | J.P. Morgan Securities LLC
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Fees: | None
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Cusip: | 48133LQM7
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