By Kiku Steinfeld
Chicago, Oct. 10 – JPMorgan Chase Financial Co LLC priced $1.15 million of callable contingent interest notes Aug. 18, 2023 linked to the spread between the 30-Year U.S. dollar SOFR ICE swap rate and the two-Year U.S. dollar SOFR ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a monthly contingent coupon at an annual rate of 15% if the spread of the 30-year swap rate over the two-year swap rate finishes above the interest barrier. The interest barrier is negative 0.15%.
The notes are callable at par on any monthly observation rate beginning after three months.
If the notes are not called, the payout at maturity will be par if the final spread is greater than the trigger level, negative 0.15%. Otherwise, investors will lose 1% of their principal for every 0.01% that the final 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 rate: | 30-year U.S. dollar SOFR ICE swap rate and the two-year U.S. dollar SOFR ICE swap rate
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| Amount: | $1.15 million
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| Maturity: | Aug. 18, 2023
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| Coupon: | 15% annualized, paid monthly, if the spread of the 30-year swap rate over the 2-year swap rate finishes no lower than the interest barrier on any monthly observation date
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| Price: | Par
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| Payout at maturity: | Par unless the final spread of the 30-year rate and the 2-year rate is lower than the negative 0.15% trigger level, in which case, investors will lose 1% of their principal for every 0.01% that the final spread is less than the trigger level
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| Call option: | At par on any monthly observation rate beginning after three months
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| Interest barrier level: | -0.15%
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| Trigger level: | -0.15%
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| Pricing date: | Feb. 16
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| Settlement date: | Feb. 18
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 48130UB53
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