New York, April 19 – JPMorgan Chase Financial Co. LLC priced $1.03 million of 0% capped notes due Oct. 16, 2023 linked to 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 are guaranteed by JPMorgan Chase & Co.
The payout at maturity will be par plus $1,000 multiplied by 100 multiplied by the sum of the final reference rate spread plus the absolute value of the strike level, subject to a maximum return of 75% and a minimum payout of $0.
The final reference rate spread is the spread of the 30-year swap rate over the two-year swap rate on Oct. 11, 2023, and the strike level is negative 0.5%.
The notes are designed for investors who believe that the 30-year swap rate will not be below the two-year swap rate by more than 0.50% and who seek the opportunity to earn a return equal to 1% of par for every 0.01% that the final spread is greater than negative 0.5%.
J.P. Morgan Securities LLC is the selling agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Capped notes
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| Underlying: | 30-year and two-year U.S. dollar ICE swap rates
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| Amount: | $1,025,000
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| Maturity: | Oct. 16, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus $1,000 multiplied by 100 multiplied by sum of 30-year swap rate minus two-year swap rate plus absolute value of negative 0.5%, subject to maximum return of 75% and minimum payout of $0
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| Pricing date: | April 11
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| Settlement date: | April 14
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.3567%
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| Cusip: | 48133DE48
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