By William Gullotti
Buffalo, N.Y., Sept. 22 – JPMorgan Chase Financial Co. LLC priced $1.5 million of 0% digital notes due July 19, 2022 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 rate or falls by up to 22.3%, the payout at maturity will be par plus the contingent digital return of 7%.
If the swap rate falls by more than 22.3%, investors will lose 1.287% for every 1% that the final rate declines beyond 22.3%.
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: | $1.5 million
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| Maturity: | July 19, 2022
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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 22.3%, par plus 7%; otherwise, lose 1.287% for every 1% of rate decline below the buffer
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| Initial rate: | 1.414%
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| Pricing date: | June 30
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| Settlement date: | July 6
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.75%
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| Cusip: | 48130UWW1
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