By Wendy Van Sickle
Columbus, Ohio, Feb. 28 – JPMorgan Chase Financial Co. LLC priced $2.3 million of 0% digital notes due March 15, 2021 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 swap rate finishes at or above its initial value or falls by up to 42.15%, the payout at maturity will be par plus the contingent digital return, 12%.
If the swap rate falls by more than 42.15%, investors will lose 1.72861% for every 1% that the rate declines beyond 42.15%.
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: | Digital notes
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Underlying rate: | 10-year U.S. dollar ICE swap rate
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Amount: | $2.3 million
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Maturity: | March 15, 2021
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the swap rate finishes at or above its initial value or falls by up to 30.6%, par plus 12%; if the swap rate falls by more than 42.15%, 1.72861% loss for every 1% that the rate declines beyond 42.15%
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Initial rate: | 1.3%
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Buffer level: | 0.75205%, 57.85% of initial level
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Pricing date: | Feb. 24
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Settlement date: | Feb. 27
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48130UTZ8
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