By Marisa Wong
Los Angeles, Feb. 26 – JPMorgan Chase Financial Co. LLC priced $1.9 million of 0% digital notes due Feb. 10, 2022 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If the swap rate finishes at or above its initial value or falls by up to 30%, the payout at maturity will be par plus the contingent digital return of 10%.
If the swap rate falls by more than 30%, investors will lose 1% for every 1% that the rate declines below its initial value.
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 notes
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Underlying rate: | 10-year U.S. dollar ICE swap rate
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Amount: | $1.9 million
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Maturity: | Feb. 10, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the swap rate finishes at or above its initial value or falls by up to 30%, par plus 10%; otherwise, full exposure to any decline
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Initial rate: | 1.111%
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Pricing date: | Jan. 22
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Settlement date: | Jan. 27
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48130UUW3
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