By Marisa Wong
Madison, Wis., July 31 - JPMorgan Chase & Co. priced $3 million of callable variable-rate range accrual notes due July 31, 2027 linked to six-month Libor and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly and will equal the interest factor times the proportion of days on which the closing level of the S&P 500 index is at least 80% of the initial level, subject to a minimum rate of zero and a variable maximum rate.
The interest factor is 7% for the first year, two times 4% minus six-month Libor for years two through five, two times 6% minus six-month Libor for years six through 10 and two times 8% minus six-month Libor for years 11 to 15.
The coupon is capped at 7% for the first year, 8% for years two through five, 12% for years six through 10 and 16% for years 11 through 15.
The payout at maturity will be par.
The notes are callable on any interest payment date after one year.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Six-month Libor and S&P 500 index callable range accrual notes
|
| Amount: | $3 million
|
| Maturity: | July 31, 2027
|
| Coupon: | Interest factor times proportion of days on which S&P 500 closes at or above 80% of initial level, subject to floor of zero and a variable cap; interest factor is 7% for the first year, two times 4% minus six-month Libor for years two through five, two times 6% minus six-month Libor for years six through 10 and two times 8% minus six-month Libor for years 11 to 15; cap is 7% for the first year, 8% for years two through five, 12% for years six through 10 and 16% for years 11 through 15; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Call option: | At par on interest payment dates beginning on July 31, 2013
|
| Minimum level: | 1,108.776, 80% of initial level
|
| Pricing date: | July 27
|
| Settlement date: | July 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 7.125%, including 3.875% for selling concessions
|
| Cusip: | 48125VJ35
|
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