Published on 6/13/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $800,000 capped dual directional barrier notes on Russell, S&P
By Kiku Steinfeld
Chicago, June 14 – JPMorgan Chase Financial Co. LLC priced $800,000 of 0% capped dual directional barrier notes due May 23, 2024 linked to 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.
If the lesser-performing index’s final level is greater than its initial level, the payout at maturity will be par plus the lesser-performing index’s return, subject to a maximum return of 50%.
If the final level of either index is less than or equal to its initial level but the final level of each index is greater than or equal to its 70% barrier level, the payout will be par plus 50% of the absolute value of the lesser-performing index’s return.
If the final level of either index is less than its barrier level, investors will lose 1% for every 1% that the lesser-performing index declines 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: | Russell 2000 index and the S&P 500 index
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| Amount: | $800,000
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| Maturity: | May 23, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If lesser-performing index’s final level is greater than initial level, par plus lesser-performing index’s return, subject to 50% cap; if final level of either index is less than or equal to initial level but final level of each index is greater than or equal to barrier level, par plus 50% of absolute value of lesser-performing index’s return; if final level of either index is less than barrier level, 1% loss for every 1% that lesser-performing index declines from initial level
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| Initial levels: | 2,210.877 for Russell, 4,127.83 for S&P
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| Barrier levels: | 1,547.6139 for Russell, 2,889.481 for S&P, 70% of initial levels
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| Pricing date: | May 18
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| Settlement date: | May 21
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.9%
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| Cusip: | 48132TJ64
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