Chicago, March 5 – JPMorgan Chase Financial Co. LLC priced $1.45 million of 0% digital notes due March 16, 2021 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 38.1%, the payout at maturity will be par plus the contingent digital return, 12%.
If the swap rate falls by more than 38.1%, investors will lose 1.61551% for every 1% that the rate declines beyond 38.1%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Digital notes
|
| Underlying rate: | 10-year U.S. dollar ICE swap rate
|
| Amount: | $1,453,000
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| Maturity: | March 16, 2021
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the swap rate finishes at or above its initial value or falls by up to buffer level, par plus the contingent digital return, 12%; if the swap rate falls by more than buffer level, investors will lose 1.61551% for every 1% that the rate declines beyond buffer
|
| Initial rate: | 1.291%
|
| Buffer level: | 61.9% of initial level
|
| Pricing date: | Feb. 26
|
| Settlement date: | March 2
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48130UTY1
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