By William Gullotti
Buffalo, N.Y., Aug. 23 – JPMorgan Chase Financial Co. LLC priced $1 million of 0% digital notes due Sept. 7, 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 50%, the payout at maturity will be par plus the contingent digital return of 10.33%.
If the swap rate falls by more than 50%, investors will lose 2% for every 1% that the rate declines below 50%.
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: | $1 million
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| Maturity: | Sept. 7, 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 50%, par plus 10.33%; otherwise, 2% loss for every 1% decline beyond 50%
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| Initial rate: | 3.351%
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| Strike date: | Aug. 17
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| Pricing date: | Aug. 18
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| Settlement date: | Aug. 23
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48133MBP4
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