New Issue: JPMorgan sells $2.44 million callable range accrual notes on ICE swap rates, indexes

By William Gullotti

Buffalo, N.Y., Oct. 28 – JPMorgan Chase Financial Co. LLC priced $2.44 million of callable range accrual securities due Oct. 27, 2036 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the Nasdaq-100 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 determined by taking the 30-year swap rate minus the two-year swap rate times ten, subject to a 0% minimum rate and a maximum 9% rate.

Quarterly interest will be paid and determined by taking the interest rate and multiplying it by the number of days in the accrual period when each index finishes above at least 70% of its initial level.

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 losses of the lesser performer.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Callable range accrual notes
Underlyings:	30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index, Nasdaq-100 index
Amount:	$2,441,000
Maturity:	Oct. 27, 2036
Coupon:	Annualized rate of 30-year swap rate minus the two-year swap rate times ten, subject to a 0% floor and a 9% cap; payable quarterly based on number of days in the quarterly accrual period when each index finishes above 70% of initial level divided by the actual days times the interest rate
Price:	Par
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
Call option:	After one year, at par on any interest payment date
Initial index level:	4,566.48 for S&P, 15,514.19 for Nasdaq
Accrual barrier:	3,196.536 for S&P, 10,859.933 for Nasdaq; 70% of initial level
Barrier level:	2,739.888 for S&P, 9,308.514 for Nasdaq; 60% of initial level
Pricing date:	Oct. 25
Settlement date:	Oct. 27
Agent:	J.P. Morgan Securities LLC
Fees:	4.7584%
Cusip:	48130UYQ2

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