By William Gullotti
Buffalo, N.Y., July 23 – JPMorgan Chase Financial Co. LLC priced $750,000 of 0% digital notes due Aug. 1, 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 40%, the payout at maturity will be par plus the contingent digital return of 6.5%.
If the swap rate falls by more than 40%, 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
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Digital notes
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| Underlying rate: | 10-year U.S. dollar ICE swap rate
|
| Amount: | $750,000
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| Maturity: | Aug. 1, 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 40%, par plus 6.5%; otherwise, full exposure to any decline
|
| Initial rate: | 1.35%
|
| Strike date: | July 14
|
| Pricing date: | July 15
|
| Settlement date: | July 20
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48130UXE0
|
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