Published on 8/11/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.53 million callable range accrual notes on ICE swap rates, indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 11 – JPMorgan Chase Financial Co. LLC priced $1.53 million of callable range accrual securities due July 30, 2036 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Quarterly interest will be paid at a rate of 6.65% per annum for each day the 30-year U.S. dollar ICE swap rate is greater than the two-year U.S. dollar ICE swap rate and both indexes close above 70% of their initial levels.
After one year, the notes are callable at par plus accrued interest on any quarterly redemption date.
If each index finishes at or above the barrier level, 60% of initial level, payout at maturity will be par. If either index falls by more than 40%, investors will be fully exposed to the decline of the lesser performer from its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Callable range accrual notes
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| Underliers: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index, Euro Stoxx 50 index
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| Amount: | $1,525,000
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| Maturity: | July 30, 2036
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| Coupon: | 6.65% per annum for each day 30-year U.S. dollar ICE swap rate is greater than two-year U.S. dollar ICE swap rate and both indexes close above 70% of initial levels
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above barrier, par; if either falls by more than 40%, 1% loss for every 1% decline of the lesser performer from its initial level
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| Call option: | After one year, at par on any quarterly interest payment date
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| Initial index level: | 4,400.64 for S&P, 4,103.03 for Stoxx
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| Accrual barrier: | 3,080.448 for S&P, 2,872.121 for Stoxx; 70% of initial level
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| Barrier level: | 2,640.384 for S&P, 2,461.818 for Stoxx; 60% of initial level
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| Pricing date: | July 25
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| Settlement date: | July 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.5%
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| Cusip: | 48130UXT7
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