By Wendy Van Sickle
Columbus, Ohio, April 5 – JPMorgan Chase Financial Co. LLC priced $2.65 million of callable range accrual securities due March 24, 2041 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The interest rate is 7% for the first year. After that, interest will be determined the second business day preceding the beginning of the applicable interest period, based on 5 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate, with a 0% floor and a 7% ceiling.
After the first year, interest payments will be the determined rate detailed above times the number of days that the index finishes above 65% of its initial level divided by the number of days in the accrual period.
The payout at maturity will be par unless the index finishes below its barrier level, 65% of its initial level, in which case investors will be fully exposed to the index’s decline.
After one year, the notes are callable at par plus accrued interest on any quarterly redemption date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
|
| Underlyings: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate and S&P 500 index
|
| Amount: | $2,645,000
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| Maturity: | March 24, 2041
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| Coupon: | 7% for first year; after that, annualized rate of 5 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate subject to a 0% floor and a ceiling of 7% calculated on the second business day before the applicable interest period; interest paid quarterly at the calculated rate times each day that index is at least 65% of its initial level divided by the number of days in the accrual period
|
| Price: | Par
|
| Payout at maturity: | Par unless index finishes below barrier level, in which case full exposure to index’s decline
|
| Call option: | After one year, at par on any interest payment date
|
| Initial index level: | 3,913.1
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| Coupon barrier: | 2,543.515; 65% of initial level
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| Barrier level: | 2,543.515; 65% of initial level
|
| Pricing date: | March 15
|
| Settlement date: | March 18
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.5384%
|
| Cusip: | 48130UVM4
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