By Wendy Van Sickle
Columbus, Ohio, Dec. 29 – JPMorgan Chase Financial Co. LLC priced $9.15 million of callable contingent interest notes due Nov. 30, 2023 linked to the spread between the 30-year U.S. Dollar ICE swap rate and the two-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.
The notes will pay a contingent quarterly coupon at an annual rate of 10% if the spread of the 30-year swap rate minus the two-year swap rate is greater than or equal to 0% on the relevant review date.
The notes may be called at par plus any coupon due on any quarterly review date other than the final.
If the notes have not been called and the final spread is greater than or equal to 0%, the payout at maturity will be par plus the final coupon.
Otherwise, investors will lose 1% for every 0.01% that the spread is less than 0%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Callable contingent interest notes
|
| Underlying rates: | 30-year U.S. Dollar ICE swap rate, two-year U.S. Dollar ICE swap rate
|
| Amount: | $9,145,000
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| Maturity: | Nov. 30, 2023
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| Coupon: | 10% per year, payable quarterly, if the reference rate spread is greater than or equal to the interest barrier on the relevant review date; reference rate spread is the 30-year swap rate minus the two-year swap rate
|
| Price: | Par
|
| Payout at maturity: | If the reference rate spread at maturity is greater than or equal to 0%, par plus the final coupon; otherwise, lose 1% for every 0.01% that the spread is below trigger level
|
| Call option: | At par plus any coupon due on any quarterly review date other than the final
|
| Interest barrier: | 0.0%
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| Trigger level: | 0.0%
|
| Pricing date: | Nov. 24
|
| Settlement date: | Nov. 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.8892%
|
| Cusip: | 48130UZE8
|
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