Published on 4/2/2024 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $11.55 million capped buffered enhanced participation notes on index basket
By Wendy Van Sickle
Columbus, Ohio, April 2 – JPMorgan Chase Financial Co. LLC priced $11.55 million of 0% capped buffered enhanced participation notes due May 15, 2026 linked to a weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
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 a 12% weight and the S&P/ASX 200 index with a 9% weight.
If the basket return is positive, the payout at maturity will be par plus 250% of the basket return up to par plus 39.125%.
Investors will receive par if the basket declines by 17.5% or less and will lose 1.2121% for every 1% that it declines beyond 17.5%.
J.P. Morgan Securities LLC is the underwriter. iCapital Markets LLC is acting as dealer.
| 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 indexes: | Euro Stoxx 50 index (36% weight), Topix index (26% weight), FTSE 100 index (17% weight), Swiss Market index (12% weight), S&P/ASX 200 index (9% weight)
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| Amount: | $11,546,000
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| Maturity: | May 15, 2026
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If the basket return is positive, the payout at maturity will be par plus 250% of the basket return up to par plus 39.125%; investors will receive par if the basket declines up to 17.5%; otherwise, lose 1.2121% for every 1% that it declines beyond 17.5%
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| Initial index levels: | 5,064.18 for Stoxx, 2,780.8 for Topix, 7,930.96 for FTSE, 11,680.36 for Swiss Market, 7,780.232 for S&P/ASX 200
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| Buffer level: | 82.5% of initial basket level
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| Pricing date: | March 26
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| Settlement date: | April 2
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| Underwriter: | J.P. Morgan Securities LLC
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| Selected dealer: | iCapital Markets LLC
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| Fees: | 0%
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| Cusip: | 48134XKH7
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