By William Gullotti
Buffalo, N.Y., Aug. 22 – JPMorgan Chase Financial Co. LLC priced $4 million of 0% digital notes due Sept. 6, 2023 linked to the two-year U.S. dollar SOFR 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 43%, the payout at maturity will be par plus the contingent digital return of 13%.
If the swap rate falls by more than 43%, investors will lose 1.75439% for every 1% that the rate declines below 43%.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase Financial Co. LLC
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Guarantor: | JPMorgan Chase & Co.
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Issue: | Digital notes
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Underlying rate: | two-year U.S. dollar SOFR ICE swap rate
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Amount: | $4 million
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Maturity: | Sept. 6, 2023
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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 43%, par plus 13%; otherwise, lose 1.75439% for every 1% that the rate declines below 43%
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Initial rate: | 3.255%
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Strike date: | Aug. 16
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Pricing date: | Aug. 17
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Settlement date: | Aug. 22
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48133MBM1
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