Published on 4/5/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $670,000 callable range accrual notes on ICE swap rates, Russell
By Marisa Wong
Morgantown, W.Va., April 5 – JPMorgan Chase & Co. priced $670,000 of callable range accrual notes due March 31, 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 coupon will be fixed at 7% for the first year. After that, it will accrue at a rate equal to 10 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate for each day that the index closes at or above the 65% minimum index level, up to a maximum rate of 7%. Interest is payable quarterly and cannot be less than zero.
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 any losses.
The notes are callable at par plus accrued interest on any quarterly redemption date after one year.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
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| Underlyings: | Russell 2000 index, 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate
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| Amount: | $670,000
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| Maturity: | March 31, 2021
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| Coupon: | Fixed at 7% for the first year; after that, 10 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate for each day that the index closes at or above the minimum index level, up to a cap of 7% and with floor of zero; payable quarterly
|
| 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 March 31, 2017
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| Initial index level: | 1,080.231
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| Barrier/minimum level: | 702.15015, 65% of initial level
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| Pricing date: | March 28
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| Settlement date: | March 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.5%
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| Cusip: | 48125U2W1
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