Published on 12/26/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.95 million capped buffered return enhanced notes tied to index basket
By Susanna Moon
Chicago, Dec. 26 – JPMorgan Chase Financial Co. LLC priced $1.95 million of 0% buffered return enhanced notes due Aug. 16, 2019 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of 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 1.8 times any basket gain, up to a maximum settlement amount of $1,334.80 for each $1,000 principal amount.
Investors will receive par if the basket falls by up to 12.5% and will lose 1.1429% 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 indexes: | Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix (23% weight), Swiss Market (9% weight) and S&P/ASX 200 (8% weight)
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Amount: | $1,953,000
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Maturity: | Aug. 16, 2019
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 1.8 times any basket gain, capped at 33.48%; if basket falls by up to 12.5%, par; otherwise, 1.1429% loss for each 1% decline beyond 12.5%
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Initial index levels: | 3,600.35 for Stoxx, 7,500.41 for FTSE, 1,815.08 for Topix, 9,361.41 for Swiss Market and 6,013.203 for S&P/ASX
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Barrier levels: | 87.5% of initial levels
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Pricing date: | Dec. 12
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Settlement date: | Dec. 19
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Agent: | J.P. Morgan Securities LLC
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Fees: | None
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Cusip: | 48129HUL9
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