Published on 6/9/2020 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3.05 million digital equity notes linked to index basket
By Sarah Lizee
Olympia, Wash., June 9 – JPMorgan Chase Financial Co. LLC priced $3.05 million of 0% digital equity notes due Dec. 6, 2021 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is at least 85% of the initial level, the payout at maturity will be the threshold settlement amount of $1,063.20 per $1,000 of notes.
Otherwise, investors will lose 1.1765% for every 1% decline of the basket beyond 15%.
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: | Digital equity notes
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Underlying basket: | Euro Stoxx 50 (36% weight), Topix (27% weight), FTSE 100 (19% weight), Swiss Market (10% weight) and S&P/ASX 200 (8% weight)
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Amount: | $3.05 million
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Maturity: | Dec. 6, 2021
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the basket return is at least 85% of the initial level, $1,063.20 per $1,000 of notes; 1.1765% loss for every 1% decline of the basket beyond 15%
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Initial levels: | 3,159.02 for Stoxx, 1,587.68 for Topix, 6,220.14 for FTSE, 9,951.45 for Swiss Market, 5,835.093 for S&P/ASX
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Buffer level: | 85% of initial basket level
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Pricing date: | June 2
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Settlement date: | June 9
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1.51%
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Cusip: | 48132MAF8
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