Published on 7/26/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.53 million buffered enhanced notes on index basket
By Susanna Moon
Chicago, July 26 – JPMorgan Chase Financial Co. LLC priced $2.53 million of 0% buffered enhanced participation notes due July 22, 2020 linked to a 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 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.
The payout at maturity will be par plus triple any basket gain, up to a maximum settlement amount of $1,348 for each $1,000 principal amount.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for each 1% decline beyond 10%.
The notes are guaranteed by JPMorgan Chase & Co.
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 index (37% weight), FTSE 100 index (23% weight), Topix index (23% weight), Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight)
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| Amount: | $2,525,000
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| Maturity: | July 22, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 3 times any basket gain, capped at 34.8%; par if basket declines by up to 10%; 1.1111% loss per 1% decline beyond 10%
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| Initial levels: | 3,460.03 for Stoxx, 7,678.79 for FTSE, 1,744.98 for Topix, 8,991.34 for Swiss Market and 6,285.851 for S&P/ASX
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| Barrier levels: | 90% of initial level
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| Pricing date: | July 20
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| Settlement date: | July 27
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| Agents: | J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 48129MN36
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