Published on 2/25/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $739,000 range accrual notes linked to dollar ICE swap rates, S&P 500
By Angela McDaniels
Tacoma, Wash., Feb. 25 – JPMorgan Chase & Co. priced $739,000 of 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 nine 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% barrier 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.
Issuer: | JPMorgan Chase & Co.
|
Issue: | 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: | $739,000
|
Maturity: | Feb. 26, 2031
|
Coupon: | 10% for first year; then interest factor multiplied by proportion of days on which index closes at or above minimum index level; interest factor is nine 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 barrier 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
|
Minimum index level: | 1,344.889, 70% of initial level
|
Barrier level: | 960.635, 50% of initial level
|
Pricing date: | Feb. 23
|
Settlement date: | Feb. 26
|
Agent: | J.P. Morgan Securities LLC
|
Fees: | 3.5%
|
Cusip: | 48125U2P6
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.