By Kiku Steinfeld
Chicago, Oct. 15 – JPMorgan Chase Financial Co. LLC priced $4 million of 0% digital notes due Aug. 9, 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 30%, the payout at maturity will be par plus the contingent digital return of 10.3%.
Otherwise, investors will lose 1% for every 1% that the rate declines from its initial rate.
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: | $4 million
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| Maturity: | Aug. 9, 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 rate or falls by up to 30%, par plus 10.3%; otherwise, investors will lose 1% for every 1% that the rate declines
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| Initial rate: | 1.239%
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| Strike date: | July 22
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| Pricing date: | July 23
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| Settlement date: | July 27
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48130UXP5
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