Published on 8/31/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.2 million callable range accrual notes on ICE swap rates, indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 31 – JPMorgan Chase Financial Co. LLC priced $2.2 million of callable range accrual securities due Aug. 27, 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.
The annual interest rate will be 9% for the first year, after which it will be 8 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, with a 0% floor and up to a maximum rate of 10%.
If each index finishes at or above the barrier level, 65% of initial level, payout at maturity will be par. If either index falls by more than 35%, investors will be fully exposed to losses of the lesser performer.
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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| Underlying assets: | 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: | $2.2 million
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| Maturity: | Aug. 27, 2036
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| Coupon: | 9% for the first year, then 8 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, with a 0% floor and up to a maximum rate of 10%; payable quarterly
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above barrier, par; if either falls by more than 35%, 1% loss for every 1% decline of the lesser performer
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| Call option: | After one year, at par on any quarterly interest payment date
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| Initial index level: | 4,496.19 for S&P, 4,181.12 for Stoxx
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| Coupon barrier levels: | 2,922.5235 for S&P, 2,717.728 for Stoxx; 65% of initial levels
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| Final barrier levels: | 2,922.5235 for S&P, 2,717.728 for Stoxx; 65% of initial levels
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| Pricing date: | Aug. 25
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| Settlement date: | Aug. 27
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.3011%
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| Cusip: | 48130UYA7
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