By William Gullotti
Buffalo, N.Y., Feb. 6 – JPMorgan Chase Financial Co. LLC priced $3 million of 0% digital notes due Feb. 7, 2025 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 50% of its initial value, the payout at maturity will be par plus the contingent digital return of 10.2%.
Otherwise, investors will lose 2% for every 1% that the rate declines beyond 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: | $3 million
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| Maturity: | Feb. 7, 2025
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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 50% of its initial value, par plus 10.2%; otherwise, lose 2% for every 1% that the rate declines beyond 50%
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| Initial rate: | 4.216%
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| Buffer rate: | 50% of initial rate
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| Strike date: | Jan. 23
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| Pricing date: | Jan. 24
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| Settlement date: | Jan. 29
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.75%
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| Cusip: | 48133W2S6
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