Published on 2/27/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.95 million callable range accrual notes on CMS rates, S&P 500
By Marisa Wong
Madison, Wis., Feb. 27 – JPMorgan Chase & Co. priced $2.95 million callable range accrual notes due Feb. 27, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at the interest factor for each day that the spread of the 30-year CMS rate over the two-year CMS rate is at least zero and the index closes at or above the 70% minimum level. The interest factor is 8% in years one through five, 9% for years six through 10 and 10% for years 11 through 15. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% 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 beginning on Aug. 27.
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 components: | S&P 500, 30-year CMS rate, two-year CMS rate
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| Amount: | $2,954,000
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| Maturity: | Feb. 27, 2030
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| Coupon: | Interest will accrue at interest factor for each day that spread of 30-year CMS rate over two-year CMS rate is at least zero and index closes at or above 70% minimum level; interest factor is 8% in years one through five, 9% for years six through 10 and 10% for years 11 through 15; floor of zero; payable quarterly
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| Price: | Par
|
| 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 Aug. 27
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| Initial level: | 2,115.48
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| Barrier level: | 1,057.74, 50% of initial level
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| Minimum index level: | 1,480.836, 70% of initial level
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| Pricing date: | Feb. 24
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| Settlement date: | Feb. 27
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.037%
|
| Cusip: | 48127DQH4
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