Published on 3/9/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.01 million capped buffered return enhanced notes on index basket
By Wendy Van Sickle
Columbus, Ohio, March 9 – JPMorgan Chase Financial Co. LLC priced $2.01 million of 0% capped buffered return enhanced notes due June 29, 2022 linked to an unequally-weighted basket consisting of three indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Russell 1000 Value index with an 20% weight, the MSCI EAFE index with a 20% weight and the S&P 500 index with a 60% weight.
The payout at maturity will be par plus 2 times any basket gain, capped at par plus 12.55%.
Investors will receive par if the basket falls by up to 5% and will lose 1% for each 1% decline beyond the buffer.
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 return enhanced notes
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Underlying stocks: | Russell 1000 Value index (20% weight), MSCI EAFE index (20% weight) and S&P 500 index (60% weight)
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Amount: | $2,006,000
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Maturity: | June 29, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 2 times any basket gain, capped at par plus 12.55%; if basket falls by up to buffer, par; otherwise, 1% loss for each 1% decline beyond buffer
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Initial levels: | 1,458.106 for Russell 1000 Value, 2,217.81 for EAFE, 3,925.43 for S&P
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Buffer level: | 95% of initial basket level
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Pricing date: | Feb. 24
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Settlement date: | Feb. 26
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Agent: | J.P. Morgan Securities LLC
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Fees: | 2%
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Cusip: | 48132RF21
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