By Angela McDaniels
Tacoma, Wash., March 17 - JPMorgan Chase & Co. priced $2.75 million of callable variable-rate range accrual notes due March 18, 2029 linked to six-month Libor and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate equals the interest factor multiplied by the proportion of days on which the index's closing level is at least 75% of the initial level. Interest is subject to a floor of zero and a cap. It is payable quarterly.
The interest factor is 10% in year one. In years two through 15, it will be (a) two times (b) the strike rate minus six-month Libor.
The strike rate is 5.75% in years two through five, 6% in years six through 10 and 7% in years 11 through 15.
The interest rate cap is 10% in year one, 11.5% in years two through five, 12% in years six through 10 and 14% in years 11 through 15.
The payout at maturity will be par.
Beginning March 18, 2015, the notes are callable at par on any quarterly call date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable variable-rate range accrual notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $2.75 million
|
| Maturity: | March 18, 2029
|
| Coupon: | Interest factor multiplied by proportion of days on which index's closing level is greater than or equal to minimum index level, subject to floor of zero and a cap; payable quarterly
|
| Interest factor: | In year one, 10%; in years two through 15, (a) two times (b) strike rate minus six-month Libor
|
| Strike rate: | 5.75% in years two through five, 6% in years six through 10 and 7% in years 11 through 15
|
| Interest rate cap: | 10% in year one, 11.5% in years two through five, 12% in years six through 10 and 14% in years 11 through 15
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | Beginning March 18, 2015, notes are callable quarterly at par
|
| Minimum index level: | 2,264.655, 75% of initial level
|
| Pricing date: | March 13
|
| Settlement date: | March 18
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.014%
|
| Cusip: | 48126N5M5
|
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