Published on 1/9/2020 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $3.23 million capped buffered enhanced participation notes on basket
By Sarah Lizee
Olympia, Wash., Jan. 9 – JPMorgan Chase Financial Co. LLC priced $3.23 million of 0% capped buffered enhanced participation notes due Jan. 3, 2022 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 positive, the payout at maturity will be par plus 3 times the basket return, subject to the maximum settlement amount of $1,238.20 for each $1,000 principal amount of notes. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.
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 enhanced participation notes
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Underlying indexes: | 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: | $3,225,000
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Maturity: | Jan. 3, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If basket return is positive, par plus 3 times basket return, subject to maximum settlement amount of $1,238.20 for each $1,000 principal amount of notes; par if basket declines by 10% or less; 1.1111% loss for every 1% that basket declines beyond 10%
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Initial levels: | 3,748.47 for Stoxx, 1,721.36 for Topix, 7,587.05 for FTSE, 10,616.94 for Swiss and 6,804.855 for S&P/ASX
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Buffer levels: | 90% of initial levels
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Pricing date: | Dec. 30
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Settlement date: | Jan. 7
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Agent: | J.P. Morgan Securities LLC
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Fees: | 2%
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Cusip: | 48132HLF7
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