Chicago, May 10 – JPMorgan Chase Financial Co. LLC priced $5.34 million of callable range accrual securities due Sept. 25, 2037 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 annual interest rate will be determined by taking the 30-year swap rate minus the two-year swap rate times six, subject to a 0% minimum rate and a maximum 7.25% rate.
Quarterly interest will be paid and determined by taking the interest rate and multiplying it by the number of days in the accrual period when the index finishes above at least 65% of its initial level.
The payout at maturity will be par.
After two years, 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: | $5,340,000
|
| Maturity: | Sept. 25, 2037
|
| Coupon: | Annualized rate of 30-year swap rate minus the two-year swap rate times six, subject to a 0% floor and a 7.25% cap; payable quarterly based on number of days in the quarterly accrual period when index finishes above 65% of initial level divided by the actual days times the interest rate
|
| Price: | Par
|
| Payout at maturity: | Par plus any interest due
|
| Call option: | After two years, at par on any interest payment date
|
| Initial index level: | 3,940.59
|
| Coupon barrier: | 2,561.3835; 65% of initial level
|
| Pricing date: | March 22
|
| Settlement date: | March 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48130UVP7
|
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