Published on 4/22/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $250,000 range accrual notes linked to CMS rates, S&P 500
By Angela McDaniels
Tacoma, Wash., April 22 – JPMorgan Chase & Co. priced $250,000 of callable range accrual notes due April 22, 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.
The interest rate equals the interest factor multiplied by the proportion of days on which the 30-year CMS rate is greater than or equal to the two-year CMS rate and the index’s closing level is at least 75% of its initial level. The interest factor is 8% in years one through five, 9% in years six through 10 and 11% in years 11 through 15. Interest is payable quarterly.
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 the index’s decline.
Beginning Oct. 22, 2015, the notes are callable at par on any quarterly redemption date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $250,000
|
| Maturity: | April 22, 2030
|
| Coupon: | Interest factor multiplied by proportion of days on which 30-year CMS rate is greater than or equal to two-year CMS rate and index closes at or above minimum index level; interest factor is 8% in years one through five, 9% in years six through 10 and 11% in years 11 through 15; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless index finishes below barrier level, in which case full exposure to index’s decline
|
| Call option: | Beginning Oct. 22, 2015, at par on any quarterly redemption date
|
| Initial index level: | 2,081.18
|
| Minimum index level: | 1,560.885, 75% of initial level
|
| Barrier level: | 1,040.59, 50% of initial level
|
| Pricing date: | April 17
|
| Settlement date: | April 22
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.25%
|
| Cusip: | 48125UDL3
|
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