Published on 12/7/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $8.87 million callable range accrual notes on ICE swap rates, indexes
By Susanna Moon
Chicago, Dec. 7 – JPMorgan Chase Financial Co. LLC priced $8.87 million of callable range accrual securities due Nov. 28, 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.
Interest is payable quarterly and will be 10% for the first year. After that, interest will accrue at an annualized rate of 12 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate for each day that each index is at least 64% of its initial level, up to a maximum rate of 10%.
The payout at maturity will be par unless the S&P 500 index finishes below the 50% trigger 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 with Morgan Stanley Wealth Management handling distribution.
Issuer: | JPMorgan Chase Financial Co. LLC
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Guarantor: | JPMorgan Chase & Co.
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Issue: | Callable range accrual notes
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Underlyings: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate and S&P 500 index, Russell 2000 index
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Amount: | $8.87 million
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Maturity: | Nov. 28, 2031
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Coupon: | 10% for first year; after that, 12 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate for each day that each index closes at or above 64% minimum level, capped at 10%; payable quarterly
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Price: | Par
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Payout at maturity: | Par unless S&P 500 index finishes below 50% trigger level, in which case full exposure to any losses
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Call option: | At par on any interest payment date beginning Nov. 29, 2017
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Initial index levels: | 2,204.72 for S&P, 1,342.094 for Russell
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Minimum levels: | 1,411.0208 for S&P, 858.94016 for Russell, 64% of initial levels
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Trigger level: | 1,102.36 for S&P, 50% of initial level
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Pricing date: | Nov. 23
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Settlement date: | Nov. 29
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Agent: | J.P. Morgan Securities LLC with Morgan Stanley Wealth Management handling distribution
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Fees: | 5%
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Cusip: | 46646E5E8
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