By Marisa Wong
Morgantown, W.Va., Aug. 16 – JPMorgan Chase Financial Co. LLC priced $4.06 million of 0% digital notes due Aug. 31, 2017 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 final reference rate is greater than or equal to the initial reference rate or is less than the initial reference rate by up to 40%, the payout at maturity will be par plus 8%. Otherwise, investors will lose 1.6667% for every 1% that reference rate’s decline exceeds 40%.
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: | $4,055,000
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| Maturity: | Aug. 31, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final reference rate is greater than or equal to initial reference rate or is less than initial reference rate by up to 40%, par plus 8%; otherwise, 1.6667% loss for every 1% that reference rate’s decline exceeds 40%
|
| Initial reference rate: | 1.368%
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| Pricing date: | Aug. 12
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| Settlement date: | Aug. 17
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 46646EUJ9
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