Published on 10/22/2021 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.25 million callable range accrual notes on ICE swap rates, indexes
By Wendy Van Sickle
Columbus, Ohio, Oct. 22 – JPMorgan Chase Financial Co. LLC priced $1.25 million of callable range accrual securities due Oct. 21, 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.
Interest will accrue at a rate of 10 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day that each index closes at or above the 70% accrual barrier, subject to an 11% cap and a 0% floor, payable quarterly.
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, 65% of initial level, payout at maturity will be par. If either index falls by more than 35%, 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
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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, Euro Stoxx 50 index
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| Amount: | $1.25 million
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| Maturity: | Oct. 21, 2036
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| Coupon: | 10 times (30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate) for each day each index closes above accrual barrier with cap of 11% and floor of 0%, 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 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: | 4,486.46 for S&P, 4,151.4 for Stoxx
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| Accrual barrier: | 3,140.522 for S&P, 2,905.98 for Stoxx; 70% of initial level
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| Barrier level: | 2,916.199 for S&P, 2,698.41 for Stoxx; 65% of initial level
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| Pricing date: | Oct. 18
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| Settlement date: | Oct. 21
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.75%
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| Cusip: | 48130UYR0
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