Published on 12/29/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.41 million callable fixed-to-floaters tied to CMS rates, S&P 500
By Marisa Wong
Madison, Wis., Dec. 26 – JPMorgan Chase & Co. priced $1.41 million of callable fixed-to-floating notes due Dec. 24, 2029 linked to the 30-year Constant Maturity Swap rate over the two-year CMS rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 9% for the first year. After that, it will accrue at the multiplier times the spread of the 30-year CMS rate over the two-year CMS rate, subject to a minimum rate of zero and a maximum rate of 9% per year, for each day that the index closes at or above 75% of its initial level. Interest will be payable quarterly.
The multiplier will be four from June 24, 2015, stepping up to five on Dec. 24, 2021 and to six on Dec. 24, 2026.
The payout at maturity will be par.
The notes are callable at par on any interest payment date beginning on Dec. 24, 2019.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable fixed-to-floating notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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| Amount: | $1,409,000
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| Maturity: | Dec. 24, 2029
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| Coupon: | 9% for first year; after that, interest will accrue at multiplier times spread of 30-year CMS rate over two-year CMS rate, subject to a minimum rate of 0% and a maximum rate of 9% per year, for each day that index closes at or above minimum level; multiplier will be four from June 24, 2015, stepping up to five on Dec. 24, 2021 and to six on Dec. 24, 2026; payable quarterly
|
| Price: | Par
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| Payout at maturity: | Par
|
| Call: | At par on any interest payment date beginning on Dec. 24, 2019
|
| Initial level: | 2,070.65
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| Minimum index level: | 1,552.9875, 75% of initial level
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| Pricing date: | Dec. 19
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| Settlement date: | Dec. 24
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.015%
|
| Cusip: | 48127DPH5
|
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