New Issue: JPMorgan sells $145,000 capped buffered equity notes on basket of 28 biotech stocks

By Marisa Wong

Los Angeles, April 13 – JPMorgan Chase Financial Co. LLC priced $145,000 of 0% capped buffered equity notes due April 11, 2024 linked to an unequally weighted basket of 28 reference stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The reference stocks are Beam Therapeutics Inc., Oak Street Health, Inc., Natera, Inc., Catalent, Inc., agilon health, inc., Horizon Therapeutics plc, Guardant Health, Inc., Sarepta Therapeutics, Inc., Repligen Corp. , Apellis Pharmaceuticals, Inc., Ascendis Pharma A/S, Legend Biotech Corp., Progyny, Inc., SpringWorks Therapeutics, Inc., Evolent Health, Inc., Sage Therapeutics, Inc., Ultragenyx Pharmaceutical Inc. , Privia Health Group, Inc., Denali Therapeutics Inc., Phreesia, Inc., Relay Therapeutics, Inc. , Replimune Group, Inc., Nurix Therapeutics, Inc., Scholar Rock Holding Corp., Treace Medical Concepts, Inc., Kiniksa Pharmaceuticals, Ltd., Immunocore Holdings plc and Edgewise Therapeutics, Inc. The weights are given in the table below.

If the basket finishes above its initial level, the payout at maturity will be par plus the gain, subject to a maximum return of 40%.

If the basket finishes flat or falls by up to 20%, the payout will be par. Otherwise, investors will lose 1% for each 1% basket decline from the initial level.

On the base date, March 28, the closing level of the basket was set equal to 100. On any subsequent date, the closing level of the basket will be calculated as the sum of the weighted returns of the reference stocks.

The return of each reference stock on any trading day will be calculated with respect to the base date stock price.

The initial basket level is the closing level of the basket on the April 8 pricing date, which was 103.86. The final basket level will be the average of the closing levels of the basket on the five trading days ending April 8, 2024.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Capped buffered equity notes
Underlying basket:	Beam Therapeutics Inc. (Nasdaq: BEAM) with a 6.0000000020% weight, Oak Street Health, Inc. (NYSE: OSH) with a 6.0000000008% weight, Natera, Inc. (Nasdaq: NTRA) with a 6.0000000005% weight, Catalent, Inc. (NYSE: CTLT) with a 6.0000000002% weight, agilon health, inc. (NYSE: AGL) with a 6.0000000001% weight, Horizon Therapeutics plc (Nasdaq: HZNP) with a 5.9999999998% weight, Guardant Health, Inc. (Nasdaq: GH) with a 5.9999999997% weight, Sarepta Therapeutics, Inc. (Nasdaq: SRPT) with a 5.9999999996% weight, Repligen Corp. (Nasdaq: RGEN) with a 5.9999999989% weight, Apellis Pharmaceuticals, Inc. (Nasdaq: APLS) with a 5.9999999978% weight, Ascendis Pharma A/S (Nasdaq: ASND) with a 5.8949641305% weight, Legend Biotech Corp. (Nasdaq: LEGN) with a 5.1348979340% weight, Progyny, Inc. (Nasdaq: PGNY) with a 4.0934910430% weight, SpringWorks Therapeutics, Inc. (Nasdaq: SWTX) with a 3.3552410336% weight, Evolent Health, Inc. (NYSE: EVH) with a 3.1791558563% weight, Sage Therapeutics, Inc. (Nasdaq: SAGE) with a 2.9400865298% weight, Ultragenyx Pharmaceutical Inc. (Nasdaq: RARE) with a 2.8950881242% weight, Privia Health Group, Inc. (Nasdaq: PRVA) with a 2.5575974545% weight, Denali Therapeutics Inc. (Nasdaq: DNLI) with a 2.4544783559% weight, Phreesia, Inc. (NYSE: PHR) with a 1.9683888581% weight, Relay Therapeutics, Inc. (Nasdaq: RLAY) with a 1.8765663483% weight, Replimune Group, Inc. (Nasdaq: REPL) with a 0.6843661768% weight, Nurix Therapeutics, Inc. (Nasdaq: NRIX) with a 0.6790883928% weight, Scholar Rock Holding Corp. (Nasdaq: SRRK) with a 0.5624263674% weight, Treace Medical Concepts, Inc. (Nasdaq: TMCI) with a 0.5455133778% weight, Kiniksa Pharmaceuticals, Ltd. (Nasdaq: KNSA) with a 0.4660299655% weight, Immunocore Holdings plc (Nasdaq: IMCR) with a 0.4602732951% weight, Edgewise Therapeutics, Inc. (Nasdaq: EWTX) with a 0.2523467569% weight
Amount:	$145,000
Maturity:	April 11, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket finishes above its initial level, par plus the gain, capped at 40%; if the basket finishes flat or falls by up to 20%, par; otherwise, 1% loss for each 1% basket decline from the initial level
Base date basket level:	100
Initial basket level:	103.86, closing level of the basket on pricing date
Final basket level:	Average of closing levels of basket on five trading days ending April 8, 2024
Base date share prices:	$59.06 for Beam, $27.05 for Oak Street, $40.25 for Natera, $108.00 for Catalent, $24.07 for agilon, $108.72 for Horizon, $60.94 for Guardant, $76.07 for Sarepta, $179.57 for Repligen, $48.10 for Apellis, $111.35 for Ascendis, $35.87 for Legend, $50.55 for Progyny, $60.69 for SpringWorks, $31.18 for Evolent, $33.71 for Sage, $67.97 for Ultragenyx, $25.13 for Privia, $33.00 for Denali, $28.43 for Phreesia, $29.84 for Relay, $15.71 for Replimune, $13.70 for Nurix, $13.40 for Scholar Rock, $19.05 for Treace, $9.81 for Kiniksa,$29.32 for Immunocore, $9.10 for Edgewise
Pricing date closing prices:	$51.77 for Beam, $25.39 for Oak Street, $42.86 for Natera, $110.71 for Catalent, $24.09 for agilon, $113.17 for Horizon, $73.75 for Guardant, $87.94 for Sarepta, $169.98 for Repligen, $54.26 for Apellis, $111.07 for Ascendis, $41.56 for Legend, $44.84 for Progyny, $60.07 for SpringWorks, $30.09 for Evolent, $36.46 for Sage, $81.89 for Ultragenyx, $26.68 for Privia,$30.70 for Denali, $27.77 for Phreesia, $32.65 for Relay, $19.45 for Replimune, $14.82 for Nurix, $12.62 for Scholar Rock, $20.05 for Treace, $11.41 for Kiniksa, $35.30 for Immunocore, $9.21 for Edgewise
Base date:	March 28
Pricing date:	April 8
Settlement date:	April 13
Agent:	J.P. Morgan Securities LLC
Fees:	1.5%
Cusip:	48133FHS7

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.