By Sarah Lizee
Olympia, Wash., Aug. 28 – JPMorgan Chase Financial Co. LLC priced $600,000 of 0% digital notes due Sept. 30, 2019 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, the payout at maturity will be par plus the contingent digital return, 8.435%.
If the swap rate falls by up to the 30% contingent buffer amount, the payout at maturity will be par.
If the swap rate falls by more than 30%, investors will lose 1% for every 1% that the final rate is less than the initial rate.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Digital notes
|
| Underlying rate: | 10-year U.S. dollar ICE swap rate
|
| Amount: | $600,000
|
| Maturity: | Sept. 30, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the swap rate finishes at or above its initial value, par plus 8.435%; if the swap rate falls by up to the 30% contingent buffer amount, par; if the swap rate falls by more than 30%, 1% loss for every 1% that the final rate is less than the initial rate
|
| Initial rate: | 2.9%
|
| Pricing date: | Aug. 24
|
| Settlement date: | Aug. 29
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48130UNT8
|
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