New Issue: JPMorgan prices $5 million callable range accrual notes linked to indexes, swap rates

By Angela McDaniels

Tacoma, Wash., Sept. 30 – JPMorgan Chase Financial Co. LLC priced $5 million of callable range accrual securities due Sept. 30, 2031 linked to 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The interest rate is fixed at 10% for the first year. After that, it will be 12 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, 60% of its initial level. Interest is payable quarterly.

Beginning Sept. 30, 2017, the notes will be callable at par on any quarterly redemption date.

The payout at maturity will be par unless the S&P 500 finishes below its trigger level, 50% of its initial level, in which case investors will be fully exposed to the S&P 500’s decline from its initial level.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Callable range accrual notes
Underliers:	30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index and Russell 2000 index
Amount:	$5 million
Maturity:	Sept. 30, 2031
Coupon:	Fixed at 10% for first year; after that, 12 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:	Varying prices
Payout at maturity:	Par unless S&P 500 finishes below trigger level, in which case full exposure to S&P 500’s decline
Call option:	Beginning Sept. 30, 2017, callable at par on any quarterly redemption date
Initial index levels:	2,159.93 for S&P 500 and 1,246.381 for Russell 2000
Minimum index levels:	1,295.958 for S&P 500 and 747.8286 for Russell 2000; 60% of initial levels
Barrier level:	1,079.965, 50% of S&P 500’s initial level
Pricing date:	Sept. 27
Settlement date:	Sept. 30
Agent:	J.P. Morgan Securities LLC
Fees:	4.3%
Cusip:	46646EYM8

© 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.