Published on 2/27/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $4.74 million callable range accrual notes on CMS rates, S&P 500
By Toni Weeks
San Luis Obispo, Calif., Feb. 20 – JPMorgan Chase & Co. priced $4.74 million of callable range accrual notes due Feb. 27, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be fixed at 10% for the first year. After that, it will accrue at 7.25 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the 50% barrier level, up to a maximum rate of 10%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses.
The notes are callable at par plus accrued interest on any quarterly redemption date beginning Feb. 27, 2016.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $4,744,000
|
| Maturity: | Feb. 27, 2030
|
| Coupon: | 10% in first year; beginning Feb. 27, 2016, 7.25 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above the 50% barrier level, up to a maximum rate of 10%, floor of 0%; payable quarterly
|
| Price: | Variable prices
|
| Payout at maturity: | Par
|
| Call option: | At par on any interest payment date beginning Feb. 27, 2016
|
| Initial level: | 2,113.86
|
| Barrier level: | 1,056.93, 50% of initial level
|
| Pricing date: | Feb. 25
|
| Settlement date: | Feb. 27
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.084%
|
| Cusip: | 48125UCJ9
|
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