By Tali Rackner
Norfolk, Va., June 17 – JPMorgan Chase Financial Co. LLC priced $2.95 million of 0% digital notes due July 17, 2017 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If the final reference rate is greater than or equal to the strike rate, 1.515%, or is less than the strike rate by up to 25%, the payout at maturity will be par plus 11.25%. Otherwise, investors will lose 1.3333% for every 1% that the final reference rate is less than the strike rate by more than 25%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Digital notes
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| Underlying assed: | 10-year U.S. dollar ICE swap rate
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| Amount: | $2.95 million
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| Maturity: | July 17, 2017
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | If final reference rate is at least 1.515% strike rate or less than the strike rate by up to 25%, par plus 11.25%; otherwise, 1.3333% loss for every 1% that reference rate is less than strike rate by more than 25%
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| Pricing date: | June 14
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| Settlement date: | June 17
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.04%
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| Cusip: | 46646EHD7
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