Published on 3/13/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $10.09 million callable range accrual notes on CMS rates, S&P 500
By Susanna Moon
Chicago, March 13 – JPMorgan Chase & Co. priced $10.09 million 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 spread of 30-year CMS rate over two-year CMS rate for each day that the index closes at or above 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% barrier 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 after one year.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Callable range accrual notes
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| Underlying components: | S&P 500, 30-year CMS rate, two-year CMS rate
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| Amount: | $10,086,000
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| Maturity: | March 13, 2030
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| Coupon: | 10% initially; beginning March 13, 2016, 7.25 times spread of 30-year CMS rate over two-year CMS rate for each day that the index closes at or above 50% barrier level, up to a cap of 10%; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless index finishes below 50% barrier level, in which case investors will be fully exposed to any losses
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| Call option: | At par on any interest payment date beginning March 13, 2016
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| Initial level: | 2,044.16
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| Barrier level: | 1,022.08, 50% of initial level
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| Pricing date: | March 10
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| Settlement date: | March 13
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.442%
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| Cusip: | 48127DQP6
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