Published on 3/28/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2 million callable range accrual notes tied to ICE swap rates, index
By Wendy Van Sickle
Columbus, Ohio, March 28 – JPMorgan Chase Financial Co. LLC priced $2 million of callable range accrual securities due March 29, 2033 linked to 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 notes are guaranteed by JPMorgan Chase & Co.
The interest rate is 19% for the first year. After that, the interest rate will be nine times the spread of the 30-year ICE swap rate over the two-year ICE swap rate, subject to a minimum of zero and a maximum of 10% per year, multiplied by the proportion of days on which each index closes at or above its minimum index level, 75% of its initial level. Interest is payable quarterly.
The payout at maturity will be par unless the index finishes below its barrier level, 25% of its initial level, in which case investors will be fully exposed to the decline of the index.
Beginning March 29, 2019, the notes are callable at par plus accrued interest on any quarterly redemption date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Callable range accrual notes
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| Underlyings: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index
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| Amount: | $2 million
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| Maturity: | March 29, 2033
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| Coupon: | 19% for first year; after that, nine times spread of 30-year ICE swap rate over two-year ICE swap rate, subject to minimum of zero and maximum of 10% per year, multiplied by proportion of days on which each index closes at or above minimum index level; payable quarterly
|
| Price: | Variable prices
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| Payout at maturity: | Par unless index finishes below barrier level, in which case full exposure to decline of index
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| Call option: | Beginning March 29, 2019, at par on any interest payment date
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| Initial index level: | 2,658.55
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| Minimum index level: | 1,993.9125; 75% of initial level
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| Barrier level: | 1,993.9125; 75% of initial level
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| Pricing date: | March 26
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| Settlement date: | March 29
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 5%
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| Cusip: | 46647MRE5
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