JPMorgan to price capped buffered enhanced insight notes on stocks with inflation exposure

By Marisa Wong

Los Angeles, April 30 – JPMorgan Chase Financial Co. LLC plans to price 0% capped buffered return enhanced insight notes due May 11, 2023 linked to the J.P. Morgan basket of reference stocks with potential exposure to inflation (May 2021) of 45 unequally weighted reference stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The reference stocks represent the common stocks, common shares or ordinary shares of 45 U.S.-listed companies with potential exposure to inflation in the United States.

The basket consists of United States Steel Corp., MGM Resorts International, NOV Inc., Oshkosh Corp., Marathon Oil Corp., Eaton Corp. plc, Ametek, Inc., WEX Inc., MetLife, Inc., Capital One Financial Corp., Brunswick Corp., Affiliated Managers Group, Inc., Unum Group, Pioneer Natural Resources Co., Principal Financial Group, Inc., Bank of New York Mellon Corp., TechnipFMC plc, United Rentals, Inc., Goldman Sachs Group, Inc., Jefferies Financial Group, Inc., Celanese Corp., Hess Corp., Eastman Chemical Co. and LyondellBasell Industries NV, each with a 3% weight; KBR, Inc. with a 2.520% weight; Timken Co. with a 2.507% weight; ManpowerGroup Inc. with a 2.452% weight; Prosperity Bancshares, Inc. with a 1.905% weight; Dana Inc. with a 1.660% weight; Trinity Industries, Inc. with a 1.445% weight; American Equity Investment Life Holding Co. with a 1.417% weight; EnerSys with a 1.410% weight; Vishay Intertechnology, Inc. with a 1.385% weight; CNO Financial Group, Inc. with a 1.369% weight; Allegheny Technologies Inc. with a 1.310% weight; Woodward, Inc. with a 1.253% weight; Umpqua Holdings Corp. with a 1.159% weight; Worthington Industries, Inc. with a 1.105% weight; American Axle & Manufacturing Holdings, Inc. with a 0.913% weight; Century Aluminum Co., with a 0.877% weight; Nabors Industries Ltd. with a 0.875% weight; Cabot Corp. with a 0.768% weight; Patterson-UTI Energy, Inc. with a 0.672% weight; Columbia Banking System, Inc. with a 0.656% weight; and Oil States International, Inc. with a 0.342% weight.

The weights were determined on April 20. The effective weight of each stock in the basket will fluctuate over the term of the notes, the issuer noted.

The initial value for each reference stock was also determined on the April 20 base date.

If the final basket value is greater than the initial basket value, the payout at maturity will be par plus 1.5 times the basket gain, capped at par plus at least 22%. The exact cap will be set at pricing.

If the basket falls by up to 10%, the payout will be par.

Otherwise, investors will lose 1% for every 1% basket decline beyond 10%.

The notes will be guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 7.

The Cusip number is 48132TZU3.

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