By William Gullotti
Buffalo, N.Y., April 14 – JPMorgan Chase Financial Co. LLC priced $2.83 million of 0% digital notes due April 23, 2024 linked to the 10-Year U.S. dollar SOFR 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 70% of its initial value, the payout at maturity will be par plus the contingent digital return of 17.15%.
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 SOFR ICE swap rate
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Amount: | $2.83 million
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Maturity: | April 23, 2024
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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 17.15%; otherwise, full exposure to decline from initial rate
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Initial rate: | 3.009%
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Barrier rate: | 2.1%; 70% of initial rate
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Strike date: | April 6
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Pricing date: | April 10
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Settlement date: | April 13
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48133U5J7
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