By William Gullotti
Buffalo, N.Y., Oct. 30 – JPMorgan Chase Financial Co. LLC priced $2.5 million of 0% buffered digital notes due Nov. 5, 2024 inversely linked to the 10-Year U.S. Dollar SOFR ICE Swap Rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the final reference rate is less than or equal to 124.6% of initial rate, the payout at maturity will be par plus a 10% digital return.
Otherwise, investors will lose 1.32626% for each 1% that the final reference rate increases above the 24.6% buffer.
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: | Buffered digital notes
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| Underlying rate: | 10-Year U.S. Dollar SOFR ICE Swap Rate
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| Amount: | $2.5 million
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| Maturity: | Nov. 5, 2024
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus 10% digital return if the final reference rate is less than or equal to 124.6% of the initial rate; otherwise, 1.32626% loss for each 1% increase of the reference rate above the buffer
|
| Initial rate: | 4.64%
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| Buffer: | 24.6%
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| Pricing date: | Oct. 19
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| Settlement date: | Oct. 24
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48133WU48
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