By Wendy Van Sickle
Columbus, Ohio, Nov. 23 – JPMorgan Chase Financial Co. LLC priced $20.57 million of callable contingent interest notes due Nov. 22, 2023 linked to the spread between the 30-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 10% if the spread is at least equal to the negative 0.05% coupon barrier on the relevant review date.
The notes may be called at par plus any coupon due on any quarterly review date other than the first and final review dates.
If the notes have not been called and the final spread is greater than or equal to the negative 0.05% trigger, the payout at maturity will be par plus the final coupon. If the final spread is less than the trigger, investors will lose 1% of par for every 0.01% that the final rate spread is less than the trigger level.
The notes are guaranteed by JPMorgan Chase & Co.
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 contingent interest notes
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| Underlying spread: | 30-year U.S. dollar ICE swap rate minus two-year U.S. dollar ICE swap rate
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| Amount: | $20.57 million
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| Maturity: | Nov. 22, 2023
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| Coupon: | 10% per year, payable quarterly if spread is greater than or equal to the coupon barrier on the corresponding review date
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless spread is less than trigger level, in which case investors will lose 1% of par for every 0.01% that final rate spread is less than trigger level
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| Call option: | At par plus any coupon due on any quarterly review date other than the first and final ones
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| Coupon barrier: | Negative 0.05%
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| Trigger level: | Negative 0.05%
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| Pricing date: | Nov. 18
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| Settlement date: | Nov. 22
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.9961%
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| Cusip: | 48130UZF5
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