By Wendy Van Sickle
Columbus, Ohio, July 1 – JPMorgan Chase Financial Co. LLC priced $1.5 million of callable range accrual securities due June 30, 2036 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The interest rate is 10% for the first year. After that, interest will accrue at an annualized rate of 10 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate for each day that each index is at least 65% of its initial level, subject to a ceiling of 10% and a floor of 0% Interest is payable quarterly.
The payout at maturity will be par unless either index finishes below its barrier level, 65% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.
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
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Callable range accrual notes
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| Underlyings: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index and Euro Stoxx 50 index
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| Amount: | $1.5 million
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| Maturity: | June 30, 2036
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| Coupon: | 10% for first year; after that, annualized rate of 10 times spread of 30-year ICE swap rate minus two-year ICE swap rate for each day that each index is at least 65% of its initial level, subject to a ceiling of 10% and a floor of 0%; payable quarterly
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| Price: | Variable prices
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| Payout at maturity: | Par unless either index finishes below barrier level, in which case full exposure to decline of lesser-performing index
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| Call option: | After one year, at par on any interest payment date
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| Initial index levels: | 4,290.61 for S&P 500 and 4,089.91 for Stoxx
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| Barrier levels: | 2,788.8965 for S&P 500 and 2,658.4415 for Stoxx; 65% of initial levels
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| Pricing date: | June 11
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| Settlement date: | June 15
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.125%
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| Cusip: | 48130UWR2
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