By Wendy Van Sickle
Columbus, Ohio, Feb. 4 – JPMorgan Chase Financial Co. LLC priced $3.2 million of callable range accrual securities due Jan. 31, 2035 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 Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The interest rate is 9.3% for the first year. After that, interest will accrue at an annualized rate of 9.3% for each day the spread of the 30-year ICE swap rate minus the two-year ICE swap rate is greater than zero and each index closes above 65% of initial level.
Interest is payable quarterly.
The payout at maturity will be par unless either index finishes below its barrier level, 65% 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
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Guarantor: | JPMorgan Chase & Co.
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Issue: | Callable range accrual notes
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Underlyings: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index and Euro Stoxx Banks index
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Amount: | $3,198,000
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Maturity: | Jan. 31, 2035
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Coupon: | 9.3% for first year; after that, annualized rate of 9.3% for each day the spread of the 30-year ICE swap rate minus the two-year ICE swap rate is greater than zero and each index closes above 65% of initial level; payable quarterly
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Price: | Variable prices
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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: | After one year, at par on any interest payment date
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Initial index levels: | 3,276.24 for S&P 500 and 92.97 for Euro Stoxx Banks
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Barrier levels: | 2,129.556 for S&P 500 and 60.4305 for Euro Stoxx Banks; 65% of initial levels
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Pricing date: | Jan. 28
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Settlement date: | Jan. 31
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Agent: | J.P. Morgan Securities LLC
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Fees: | 4.7647%
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Cusip: | 48130UTL9
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