Published on 6/2/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.45 million range accrual notes on CMS rates, S&P 500
By Marisa Wong
Madison, Wis., June 2 – JPMorgan Chase & Co. priced $2.45 million of callable range accrual notes due May 29, 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.
The interest rate is 10% for the first year. After that, the interest rate will equal the interest factor multiplied by the proportion of days on which the index’s closing level is at least 65% of its initial level. The interest factor will be 10 times the spread of the 30-year CMS rate over the two-year CMS rate, subject to a minimum of zero and a maximum rate of 10% per year. Interest is payable quarterly.
The payout at maturity will be par unless the index finishes below the 55% barrier level, in which case investors will be fully exposed to the index’s decline.
Beginning May 29, 2016, the notes will be callable at par on any quarterly redemption date.
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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| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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| Amount: | $2.45 million
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| Maturity: | May 29, 2030
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| Coupon: | 10% for first year; then interest factor multiplied by proportion of days on which index closes at or above minimum index level; interest factor is 10 times spread of 30-year CMS rate over two-year CMS rate, subject to minimum of zero and maximum rate of 10% per year; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless index finishes below barrier level, in which case full exposure to index’s decline
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| Call option: | Beginning May 29, 2016, at par on any quarterly redemption date
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| Initial index level: | 2,104.20
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| Minimum index level: | 1,367.73, 65% of initial level
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| Barrier level: | 1,157.31, 55% of initial level
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| Pricing date: | May 26
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| Settlement date: | May 29
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.806%
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| Cusip: | 48125UEA6
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