New Issue: JPMorgan prices $6.71 million range accrual notes linked to dollar ICE swap rates, S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 25 – JPMorgan Chase & Co. priced $6.71 million of leveraged callable range accrual notes due Feb. 26, 2031 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap 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 70% of its initial level. The interest factor is 8.2 times the spread of the 30-year U.S. dollar ICE swap rate over the two-year U.S. dollar ICE swap 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 50% trigger level, in which case investors will be fully exposed to the index’s decline.

Beginning Feb. 26, 2017, the notes will be callable at par on any quarterly redemption date.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.

The issuer said it may increase the issue size prior to the settlement date, Feb. 26, but is not required to do so.

Issuer:	JPMorgan Chase & Co.
Issue:	Leveraged callable range accrual notes
Underlyings:	30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index
Amount:	$6,712,000
Maturity:	Feb. 26, 2031
Coupon:	10% for first year; then interest factor multiplied by proportion of days on which index closes at or above index reference level; interest factor is 8.2 times spread of 30-year U.S. dollar ICE swap rate over two-year U.S. dollar ICE swap rate, subject to minimum of zero and maximum rate of 10% per year; payable quarterly
Price:	Par
Payout at maturity:	Par unless index finishes below trigger level, in which case full exposure to index’s decline
Call option:	Beginning Feb. 26, 2017, at par on any quarterly redemption date
Initial index level:	1,921.27
Index reference level:	1,248.8255, 65% of initial level
Trigger level:	960.635, 50% of initial level
Pricing date:	Feb. 23
Settlement date:	Feb. 26
Agent:	J.P. Morgan Securities LLC
Distribution:	Morgan Stanley Wealth Management
Fees:	3.5%
Cusip:	48125U2N1

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