Published on 3/15/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.14 million capped dual directional barrier notes tied to indexes
By Wendy Van Sickle
Columbus, Ohio, March 15 – JPMorgan Chase Financial Co. LLC priced $1.14 million of 0% capped dual directional barrier notes due Aug. 28, 2023 linked to the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index, according to a 424B2 filed with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The payout at maturity will be par plus the gain of the least-performing index, subject to a maximum return of par plus 21.5%.
If the least-performing index falls by up to 30%, the payout will be par plus the absolute value of the least-performing index return.
Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
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 dual directional barrier notes
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| Underlying indexes: | Dow Jones industrial average, Russell 2000 index and S&P 500 index
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| Amount: | $1.14 million
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| Maturity: | Aug. 28, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus least-performing index gain, capped at par plus 21.5%; if least-performing index falls but is above barrier level, par plus absolute value of least-performing index return; otherwise, 1% loss for each 1% decline of least-performing index below initial level
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| Initial index levels: | 31,537.35 for Dow, 2,231.314 for Russell, 3,881.37 for S&P
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| Barrier levels: | 22,076.145 for Dow, 1,561.3198 for Russell, 2,716.959 for S&P; 70% of initial levels
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.39145%
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| Cusip: | 48132RTA8
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