Published on 3/3/2023 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $750,000 digital notes linked to 10-year SOFR ICE swap rate
Chicago, March 3 – JPMorgan Chase Financial Co. LLC priced $750,000 of 0% digital notes due June 20, 2023 linked to the 10-year U.S. dollar SOFR ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If the swap rate finishes at or above its initial value or falls by up to 25%, the payout at maturity will be par plus the contingent digital return of 14%.
If the swap rate falls by more than 25%, investors will lose 1% for every 1% that the rate declines from its initial level.
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: | Digital notes
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Underlying rate: | 10-year U.S. dollar SOFR ICE swap rate
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Amount: | $750,000
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Maturity: | June 20, 2023
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the swap rate finishes at or above its initial value or falls by up to 25%, par plus 14%; otherwise, 1% loss for every 1% decline of the rate from its initial level
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Initial rate: | 2.7%
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Strike date: | May 11, 2022
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Pricing date: | May 12, 2022
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Settlement date: | May 17, 2022
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48133DG79
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