Published on 10/5/2022 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3 million notes on dollar vs. currency basket
By William Gullotti
Buffalo, N.Y., Oct. 5 – JPMorgan Chase Financial Co. LLC priced $3 million of 0% notes due April 2, 2024 linked to the performance of the U.S. dollar relative to a weighted basket of currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The basket consists of the euro with a 57.6% weight, the Japanese yen with a 13.6% weight, the British pound sterling with an 11.9% weight, the Canadian dollar with a 9.1% weight, the Swedish krona with a 4.2% weight and the Swiss franc with a 3.6% weight. The spot rate is expressed as a number of dollars per euro or pound and as a number of yen, Canadian dollars, krona or francs per dollar.
The payout at maturity will be par plus the additional amount, which is equal to the basket return, subject to a minimum payout of par.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Notes
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| Underlying basket: | Euro (57.6% weight), Japanese yen (13.6% weight), British pound sterling (11.9% weight), Canadian dollar (9.1% weight), Swedish krona (4.2% weight), Swiss franc (3.6% weight); relative to dollar
|
| Amount: | $3 million
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| Maturity: | April 2, 2024
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the additional amount, which is equal to the basket return, subject to a minimum payout of par
|
| Initial spot rates: | 0.9741 dollars per euro, 1.0895 dollars per pound, 143.97 yen per dollar, 1.3617 Canadian dollars per dollar, 11.175 krona per dollar, 0.9755 francs per dollar
|
| Strike date: | Sept. 28
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| Pricing date: | Sept. 29
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| Settlement date: | Sept. 30
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
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| Cusip: | 48133MDU1
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