Published on 11/4/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.53 million leveraged callable range accrual notes on S&P 500
By Wendy Van Sickle
Columbus, Ohio, Nov. 4 – JPMorgan Chase & Co. priced $1.53 million of leveraged callable range accrual securities due Nov. 3, 2031 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 9.25% for the first year, payable quarterly. After that, it will accrue at 12 times the spread of the 30-year U.S. dollar ICE swap rate over the two-year U.S. dollar ICE swap rate for each day the index closes at or above its 75% reference level, up to a maximum rate of 9.25%. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses.
The notes are callable on any quarterly redemption date beginning Nov. 3, 2017.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Callable range accrual notes
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| Underlying component: | S&P 500 index
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| Amount: | $1,533,000
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| Maturity: | Nov. 3, 2031
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| Coupon: | 9.25% per year for the first year; after that, 12 times the spread of the 30-year U.S. dollar ICE swap rate over the two-year U.S. dollar ICE swap rate for each day the index closes at or above its 75% reference level, up to a maximum rate of 9.25%; payable quarterly
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| Price: | Par of $1,000
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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 Nov. 3, 2017
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| Initial level: | 2,126.15
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| Reference level: | 1,594.6125, 75% of initial level
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| Trigger level: | 1,063.075, 50% of initial level
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| Pricing date: | Oct. 31
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| Settlement date: | Nov. 3
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.5%
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| Cusip: | 46646EU75
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