By Wendy Van Sickle
Columbus, Ohio, Nov. 2 – JPMorgan Chase Financial Co. LLC priced $1.13 million of callable range accrual securities due Oct. 30, 2035 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The interest rate is 10% for the first year. After that, interest will accrue at an annualized rate of 11 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate for each day that each index is at least 65% of its initial level, up to a maximum rate of 10%. Interest is payable quarterly.
The payout at maturity will be par unless either index finishes below its barrier level, 60% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.
After one year, the notes are callable at par plus accrued interest on any quarterly redemption date.
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: | Callable range accrual notes
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| Underlyings: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index and Euro Stoxx Banks index
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| Amount: | $1.13 million
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| Maturity: | Oct. 30, 2035
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| Coupon: | 10% for first year; after that, annualized rate of 11 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate for each day that each index is at least 65% of its initial level, up to a maximum rate of 10%; payable quarterly
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| Price: | Variable prices
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| Payout at maturity: | Par unless either index finishes below barrier level, in which case full exposure to decline of lesser-performing index
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| Call option: | After one year, at par on any interest payment date
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| Initial index levels: | 3,390.68 for S&P 500 and 54.64 for Stoxx Banks
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| Coupon barriers: | 2,203.942 for S&P 500 and 35.516 for Stoxx Banks; 65% of initial levels
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| Barrier levels: | 2,034.408 for S&P 500 and 32.784 for Stoxx Banks; 60% of initial levels
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| Pricing date: | Oct. 28
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| Settlement date: | Oct. 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 5%
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| Cusip: | 48130UUS2
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