By William Gullotti
Buffalo, N.Y., April 14 – JPMorgan Chase Financial Co. LLC priced $1.75 million of 0% review notes due March 8, 2024 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 will be automatically called at par plus a call premium of 17.15% per year if the underlying rate closes at or above its call level on any quarterly review date. Call level starts at 95% of the initial level for the first observation date and will step down to 85% of initial level for the second, 75% for the third and 60% for the final.
If the notes are not called at maturity, meaning the underlying rate has finished below its 60% trigger, investors will lose 1% for every 1% that the underlying rate has declined from its initial level.
The notes are guaranteed by JPMorgan Chase & Co.
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: | Review notes
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| Underlying rate: | Two-year U.S. Dollar SOFR ICE swap rate
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| Amount: | $1.75 million
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| Maturity: | March 8, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the notes are not called at maturity, investors will lose 1% for every 1% decline of the underlying rate from its initial level
|
| Call: | Automatically at par plus call premium of 17.15% per year if underlying rate closes at or above its call level on any quarterly review date; call level will be 95% of initial level on the first observation date, 85% of initial level for the second, 75% for the third and 60% for the final
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| Initial level: | 4.683%
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| Trigger rate: | 60% of initial level
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| Strike date: | Feb. 17
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 24
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48133U3Z3
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