Published on 8/15/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.5 million callable range accrual notes on ICE swap rates, indexes
By Kiku Steinfeld
Chicago, Aug. 16 – JPMorgan Chase Financial Co. LLC priced $1.5 million of callable range accrual securities due July 21, 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.
Initially, interest will be paid based on an annualized rate of 9 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 70% of its initial level, with a 0% floor and up to a maximum rate of 12%. The multiplier will increase to 10 on July 21, 2026 and to 12 and on July 21, 2031. Interest will be payable quarterly.
If each index finishes at or above the barrier level, 65% of initial level, payout at maturity will be par. If either index falls by more than 35%, investors will be fully exposed to the decline of the lesser performer from its initial level.
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
|
| 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
|
| Amount: | $1.5 million
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| Maturity: | July 21, 2036
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| Coupon: | Initially, using an annualized rate of 9 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 70% of its initial level, with a 0% floor and up to a maximum rate of 12%; multiplier will increase to 10 on July 21, 2026 and to 12 and on July 21, 2031; payable quarterly
|
| Price: | Par
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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
|
| Call option: | After one year, at par on any quarterly interest payment date
|
| Initial index levels: | 4,327.16 for S&P 500 and 4,035.77 for Stoxx
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| Minimum index levels: | 3,029.012 for S&P 500 and 2,825.039; 70% of initial levels
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| Barrier levels: | 2,812.654 for S&P 500 and 2,623.2505 for Stoxx; 65% of initial levels
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| Pricing date: | July 16
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| Settlement date: | July 21
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.4167%
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| Cusip: | 48130UWX9
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