Published on 5/1/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.18 million range accrual notes linked to CMS rates, S&P 500
By Susanna Moon
Chicago, May 1 – JPMorgan Chase & Co. priced $2.18 million of callable range accrual notes due April 30, 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 be 10% for the first year. After that, it will accrue at 9 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above 67.5% of its initial level, up to a maximum rate of 10% per year. Interest is 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 on any quarterly redemption date after one year.
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: | $2.18 million
|
| Maturity: | April 30, 2030
|
| Coupon: | 10% for first year; after that, 9 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above 67.5% of its initial level, up to a maximum rate of 10%; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless index finishes below barrier level, in which case full exposure to any losses
|
| Call option: | At par on any quarterly redemption date beginning April 30, 2016
|
| Initial index level: | 2,114.76
|
| Reference level: | 1,427.463, 67.5% of initial level
|
| Barrier level: | 1,057.38, 50% of initial level
|
| Pricing date: | April 28
|
| Settlement date: | April 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.213%
|
| Cusip: | 48125UDT6
|
|
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
