By Wendy Van Sickle
Columbus, Ohio, Sept. 11 – JPMorgan Chase Financial Co. LLC priced $4 million of 0% digital notes due Sept. 16, 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 swap rate is less than or equal to the initial swap rate or is greater than the initial swap rate by up to 30%, the payout at maturity will be par plus 10.5%.
If the final swap rate is greater than the initial swap rate by more than 30% investors will lose 1% for every 1% that the final swap rate is greater than the initial swap rate.
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: | Digital notes
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| Underlying swap rate: | 10-Year U.S. Dollar SOFR ICE swap rate
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| Amount: | $4 million
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| Maturity: | Sept. 16, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the final swap rate is less than or equal to the initial swap rate or is greater than the initial swap rate by up to 30%, par plus 10.5%; if the final swap rate is greater than the initial swap rate by more than the contingent buffer amount, investors will lose 1% for every 1% that the final swap rate is greater than the initial swap rate
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| Initial swap rate: | 3.839%
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| Pricing date: | Aug. 30
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| Settlement date: | Sept. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48133WP36
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