Published on 3/24/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.24 million capped dual directional buffered equity notes on S&P, Russell
By Taylor Fox
New York, March 24 – JPMorgan Chase Financial Co. LLC priced $1.24 million of 0% capped dual directional buffered equity notes due Sept. 15, 2022 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes above its initial level, the payout at maturity will be par plus 1 the least-performing index’s return, subject to a maximum upside return of par plus 17%.
If the final level of the least performing index falls by up to 15%, the payout will be par plus the absolute value of that index’s return.
If the final level of either index is less than its initial level by more than 15%, investors will lose 1% for every 1% that the least-performing index declines beyond 15%.
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 dual directional buffered equity
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| Underlying indexes: | Russell 2000 index, S&P 500 index
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| Amount: | $1,236,000
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| Maturity: | Sept. 15, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes above initial level, par plus 1 the least-performing index’s return, subject to maximum upside return of par plus 17%; if least performing index falls by up to 15%, par plus absolute value of least-performing index’s return; if final level of either index is less than initial level by more than 15%, 1% loss for every 1% that least-performing index declines beyond 15%
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| Initial levels: | 2,352.789 for Russell, 3,943.34 for S&P
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| Pricing date: | March 12
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| Settlement date: | March 17
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.35%
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| Cusip: | 48132TCR5
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