By Wendy Van Sickle
Columbus, Ohio, March 9 – JPMorgan Chase Financial Co. LLC priced $1.75 million of callable range accrual securities due Feb. 26, 2036 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 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The interest rate is 9% for the first year. After that, interest will be determined the second business day preceding the beginning of the applicable interest period, based on 9 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate, with a 0% floor and a9% ceiling.
After the first year, interest payments will be the determined rate detailed above times the number of days that each index finishes above 70% of its initial level divided by the number of days in the accrual period.
The payout at maturity will be par unless either index finishes below its barrier level, 65% 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 50 index
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| Amount: | $1.75 million
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| Maturity: | Feb. 26, 2036
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| Coupon: | 9% for first year; after that, annualized rate of 9 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate subject to a 0% floor and a ceiling of 9% calculated on the second business day before the applicable interest period; interest paid quarterly at the calculated rate times each day that each index is at least 70% of its initial level divided by the number of days in the accrual period
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| Price: | Par
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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: | 3,925.43for S&P 500 and 3,705.99 for Stoxx
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| Coupon barriers: | 2,474.801 for S&P 500 and 2,594.193 for Stoxx; 70% of initial levels
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| Barrier levels: | 2,551.5295 for S&P 500 and 2,408.8935 for Stoxx; 65% of initial levels
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| Pricing date: | Feb. 24
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| Settlement date: | Feb. 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 5%
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| Cusip: | 48130UVB8
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