By Sarah Lizee
Olympia, Wash., Nov. 28 – JPMorgan Chase Financial Co. LLC priced $4.06 million of callable range accrual securities due Nov. 24, 2025 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 Russell 2000 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 accrue at an annualized rate of 21 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 55% of its initial level, up to a maximum rate of 10%. Interest is payable quarterly.
The payout at maturity will be par unless either index finishes below its barrier level, 55% 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
|
| Guarantor: | JPMorgan Chase & Co.
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| 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 and Russell 2000 index
|
| Amount: | $4.06 million
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| Maturity: | Nov. 24, 2025
|
| Coupon: | 9% for first year; after that, annualized rate of 21 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 55% of its initial level, up to a maximum rate of 10%; payable quarterly
|
| Price: | Variable prices
|
| Payout at maturity: | Par unless either index finishes below barrier level, in which case full exposure to decline of lesser-performing index
|
| Call option: | Beginning Nov. 23, 2019, at par on any interest payment date
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| Initial index levels: | 2,641.89 for S&P 500 and 1,469.009 for Russell 2000
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| Minimum index levels: | 1,453.0395 for S&P 500 and 807.95495 for Russell 2000; 55% of initial levels
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| Barrier levels: | 1,453.0395 for S&P 500 and 807.95495 for Russell 2000; 55% of initial levels
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| Pricing date: | Nov. 20
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| Settlement date: | Nov. 23
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.7552%
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| Cusip: | 48130UPP4
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