Published on 6/8/2022 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.4 million callable range accrual notes on ICE swap rates, indexes
By Kiku Steinfeld
Chicago, June 8 – JPMorgan Chase Financial Co. LLC priced $1.4 million of callable range accrual securities due Nov. 24, 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.
Interest is payable monthly at an 8% annual rate multiplied by the proportion of days on which the accrual condition has been met. The accrual condition is met if the 30-year ICE swap rate minus the two-year swap rate is greater than or equal to 0% and both indexes close at or above 65% of their initial levels.
The payout at maturity will be par unless any index finishes below its 70% barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its starting level.
The notes will be callable at par on any quarterly redemption date after one year.
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: | Callable range accrual notes
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| Underliers: | 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
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| Amount: | $1.4 million
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| Maturity: | Nov. 24, 2036
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| Coupon: | 8% annual rate multiplied by proportion of days on which accrual condition is met; accrual condition is met if 30-year swap rate minus two-year swap rate is greater than or equal to zero and both indexes close at or above 65% of their initial levels
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| 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
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| Call option: | After one year, at par on any quarterly interest payment date
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| Initial index levels: | 4,704.54 for S&P and 4,383.70 for Stoxx
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| Accrual barrier levels: | 3,057.951 for S&P and 2,849.405 for Stoxx; 65% of initial levels
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| Final barrier levels: | 3,293.178 for S&P and 3,068.59 for Stoxx; 70% of initial levels
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| Pricing date: | Nov. 18, 2021
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| Settlement date: | Nov. 23, 2021
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.55%
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| Cusip: | 48130UZG3
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