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JPMorgan to price trigger absolute return step notes on index basket
By Sarah Lizee
Olympia, Wash., Sept. 25 – JPMorgan Chase Financial Co. LLC plans to price 0% trigger absolute return step securities due Sept. 30, 2024 linked to a basket of six indexes, according to an FWP filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
The basket components are the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei 225 index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with an 7.5% weight and the Hang Seng index with a 5% weight.
If the final basket level is greater than or equal to the initial level, the payout at maturity will be par of $10 plus the greater of the step return and the basket return. The step return is expected to be 46.75% to 52% and will be set at pricing.
If the final basket level is less than the initial level but greater than or equal to the downside threshold level, 75% of the initial level, the payout will be par plus the absolute value of the basket return.
If the final level is less than the downside threshold level, investors will lose 1% for every 1% that the final level is less than the initial level.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
The notes (Cusip: 48132G773) will price on Sept. 26.
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