By Kiku Steinfeld
Chicago, Nov. 7 – JPMorgan Chase Financial Co. LLC sold $1 million of autocallable contingent digital notes due March 28, 2024 linked to the spread of the 10-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called on March 30, 2023 at par plus a call premium of 11.5% if the U.S. dollar SOFR ICE swap spread is greater than or equal to negative 0.1%.
The payout at maturity will be based on the number of calendar days between March 30, 2023 and the maturity date when the spread between the two rates is greater than negative 0.3%.
If the final reference rate spread is above negative 0.3%, the payout will be the percentage of the number of days that the spread was greater than that level during the observation period out of par plus a contingent digital payment of 23%.
Otherwise, investors will be exposed to the percentage of days, as a return, that the spread was greater than negative 0.3% during the observation period.
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: | Autocallable contingent digital notes
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| Underlying rates: | 10-year U.S. dollar SOFR ICE Swap rate and two-year U.S. dollar SOFR ICE Swap rate
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| Amount: | $1 million
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| Maturity: | March 28, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final spread is above negative 0.3%, investors will receive the percentage of the days during observation period that the spread was greater than that level during the observation period times $1,000 plus 23% contingent digital payment; otherwise, percentage of days that the spread was greater than negative 0.3% during the observation period times $1,000; observation period is March 30, 2023 to the maturity date
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| Call: | Automatically on March 30, 2023 at par plus 11.5% if the U.S. dollar SOFR ICE swap spread is greater than or equal to -0.10%
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| Trigger level: | -0.30%
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| Pricing date: | March 9
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| Settlement date: | March 14
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| Agent: | J.P. Morgan Securities LLC,
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| Fees: | 1.5%
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| Cusip: | 48133DD49
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