Chicago, May 3 – JPMorgan Chase Financial Co. LLC priced $2.48 million of callable range accrual securities due March 19, 2036 linked to the 30-year U.S. dollar ICE swap rate, the five-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 five-year swap rate minus 25 basis points times eight, subject to a 0% minimum rate and a maximum 8% rate.
Quarterly interest rates will be determined in each quarterly interest period 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 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
|
| Underlyings: | 30-year U.S. dollar ICE swap rate, five-year U.S. dollar ICE swap rate and S&P 500 index
|
| Amount: | $2,480,000
|
| Maturity: | March 19, 2036
|
| Coupon: | Annualized rate of 30-year swap rate minus the five-year swap rate minus 25 bps times eight, subject to a 0% floor and an 8% cap; payable quarterly based on number of days in the 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 one year, at par on any interest payment date
|
| Initial index level: | 3,974.12
|
| Coupon barrier: | 2,583.178; 65% of initial level
|
| Pricing date: | March 17
|
| Settlement date: | March 19
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.629%
|
| Cusip: | 48130UVF9
|
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