Published on 2/25/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.52 million range accrual notes linked to dollar ICE swap rates, Russell 2000
By Angela McDaniels
Tacoma, Wash., Feb. 25 – JPMorgan Chase & Co. priced $2.52 million of callable range accrual notes due Feb. 26, 2021 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 7% 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 is 10 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 7% per year. Interest is payable quarterly.
The payout at maturity will be par unless the index finishes below the 65% 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, Russell 2000 index
|
| Amount: | $2,515,000
|
| Maturity: | Feb. 26, 2021
|
| Coupon: | 7% 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 U.S. dollar ICE swap rate over two-year U.S. dollar ICE swap rate, subject to minimum of zero and maximum rate of 7% 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: | 1,012.151
|
| Minimum index level: | 657.89815, 65% of initial level
|
| Barrier level: | 657.89815, 65% of initial level
|
| Pricing date: | Feb. 23
|
| Settlement date: | Feb. 26
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.75%
|
| Cusip: | 48125U2Q4
|
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