By Marisa Wong
Morgantown, W.Va., Nov. 16 – JPMorgan Chase Financial Co. LLC priced $1.28 million of 0% digital notes due Nov. 28, 2017 linked to the 10-year euro ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If the rate finishes at or above the strike rate of 0.5%, the payout at maturity will be par plus the contingent digital return of 10%.
Otherwise, investors will lose 2% for every 1 basis point decline in the swap rate below the strike rate.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Digital notes
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| Underlying rate: | 10-year euro ICE swap rate
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| Amount: | $1,282,000
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| Maturity: | Nov. 28, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If rate finishes at or above strike rate, par plus 10%; otherwise, 2% loss for every 1 bp decline below strike rate (downside leverage factor of 200)
|
| Strike rate: | 0.5%
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| Pricing date: | Nov. 11
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| Settlement date: | Nov. 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 46646E7F3
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