Published on 2/28/2022 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $765,000 callable range accrual notes on ICE swap rates, indexes
By Kiku Steinfeld
Chicago, Feb. 28 – JPMorgan Chase Financial Co. LLC priced $765,000 of callable range accrual notes due Sept. 15, 2031 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The annual interest rate will be determined by taking the spread of the 30-year ICE swap rate minus the two-year swap rate, subject to a 0% minimum rate and a maximum 6.4% rate.
Quarterly interest will be paid and determined by taking the interest rate and multiplying it by the number of days in the accrual period when each index finishes at or above 70% of its initial level.
After one year, the notes are callable at par plus accrued interest on any quarterly redemption date.
If each index finishes at or above the barrier level, 60% of initial level, payout at maturity will be par. If either index falls by more than 40%, investors will be fully exposed to the decline of the lesser performer from its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
|
| Underliers: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index, Euro Stoxx 50 index
|
| Amount: | $765,000
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| Maturity: | Sept. 15, 2031
|
| Coupon: | Annualized rate of 30-year swap rate minus the two-year swap rate, subject to a 0% floor and a 6.4% cap; payable quarterly based on number of days in the quarterly accrual period where each index finishes at or above 70% of initial level divided by the actual days times the interest rate
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above barrier, par; if either falls by more than 40%, 1% loss for every 1% decline of the lesser performer from its initial level
|
| Call option: | After one year, at par on any quarterly interest payment date
|
| Initial index level: | 4,493.28 for S&P, 4,177.11 for Stoxx
|
| Accrual barrier: | 3,145.296 for S&P, 2,923.977 for Stoxx; 70% of initial level
|
| Barrier level: | 2,695.968 for S&P, 2,506.266 for Stoxx; 60% of initial level
|
| Pricing date: | Sept. 9
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| Settlement date: | Sept. 14
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.6%
|
| Cusip: | 48130UYG4
|
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