Published on 8/18/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.62 million callable range accrual notes on ICE swap rates, indexes
By William Gullotti
Buffalo, N.Y., Aug. 18 – JPMorgan Chase Financial Co. LLC priced $2.62 million of callable range accrual securities due May 14, 2036 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the Nasdaq-100 index 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 annual interest rate will be 6% annually and will be paid quarterly based on how many days in the accrual period the accrual condition was satisfied.
The accrual condition will be satisfied on every trading day that the 30-year ICE swap rate minus the two-year ICE swap rate is greater than 0% and also if both indexes finish above 65% of their initial index levels.
If each index finishes at or above the barrier level, 60% of initial level, payout at maturity will be par. If either index falls by more than 40%, investors will be fully exposed to losses of the lesser performer.
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
|
| Underlying assets: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index, Nasdaq-100 index
|
| Amount: | $2,615,000
|
| Maturity: | May 14, 2036
|
| Coupon: | 6% annual rate, payable quarterly based on the number of days in the accrual period the 30-year ICE swap rate minus the two-year ICE swap rate is greater than 0% and both underlying indexes finish above 65% of their initial levels
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above barrier, par; if either falls by more than 40%, 1% loss for every 1% decline of the lesser performer
|
| Call option: | After one year, at par on any quarterly interest payment date
|
| Initial index level: | 4,063.04 for S&P, 13,001.63 for Nasdaq
|
| Coupon barrier levels: | 2,640.976 for S&P, 8,451.0595 for Nasdaq; 65% of initial levels
|
| Final barrier levels: | 2,437.824 for S&P, 7,800.978 for Nasdaq; 60% of initial levels
|
| Pricing date: | May 12
|
| Settlement date: | May 14
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.1675%
|
| Cusip: | 48130UVZ5
|
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