Published on 9/9/2022 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1 million callable range accrual notes on ICE swap rates, indexes
By Kiku Steinfeld
Chicago, Sept. 9 – JPMorgan Chase Financial Co. LLC priced $1 million of callable range accrual securities due Jan. 30, 2037 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.
Interest will be 20% for the first six months. After that, interest will accrue at an annualized rate of 15 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 70% of its initial level, up to a maximum rate of 10%. Interest is payable quarterly.
The payout at maturity will be par unless any index finishes below its 65% barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its starting level.
The notes will be callable at par on any quarterly redemption date starting July 31, 2022.
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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| Underliers: | 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 million
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| Maturity: | Jan. 30, 2037
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| Coupon: | 20% for the first six months, after which interest will accrue at an annualized rate of 15 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 70% of its initial level, up to a maximum rate of 10%; payable quarterly
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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: | Starting July 31, 2022, at par on any quarterly interest payment date
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| Initial index levels: | 4,349.93 for S&P and 4,164.60 for Stoxx
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| Accrual barrier levels: | 3,044.951 for S&P and 2,915.22 for Stoxx; 70% of initial levels
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| Final barrier levels: | 2,827.4545 for S&P and 2,706.99 for Stoxx; 65% of initial levels
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| Pricing date: | Jan. 26, 6022
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| Settlement date: | Jan. 31, 2022
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.5%
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| Cusip: | 48130UZY4
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