Published on 7/31/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.05 million callable range accrual notes on CMS rates, S&P 500
New York, July 31 – JPMorgan Chase & Co. priced $2.05 million callable range accrual notes due July 31, 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 9 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 65% minimum index level. The quarterly coupon is capped at 10% and has a floor of 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 beginning on July 31, 2016.
J.P. Morgan Securities LLC is the agent.
The estimated value of the notes is $887.90 per $1,000 principal amount.
| 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: | $2,045,000
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| Maturity: | July 31, 2030
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| Coupon: | 10% initially; beginning on July 31, 2016, 9 times spread of 30-year CMS rate over two-year CMS rate for each day that the index closes at or above 65% minimum index level, up to a cap of 10% with floor of zero; 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 July 31, 2016
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| Initial level: | 2,093.25
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| Barrier level: | 1,046.625, 50% of initial level
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| Pricing date: | July 28
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| Settlement date: | July 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.25%
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| Cusip: | 48125UTS1
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