Published on 6/29/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.75 million fixed-to-floaters tied to CMS rates, S&P
By Angela McDaniels
Tacoma, Wash., June 29 – JPMorgan Chase & Co. priced $1.75 million of callable fixed-to-floating-rate notes due June 30, 2030 linked to the S&P 500 index, the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 10% for the first year. After that, the coupon will be five times the spread of the 30-year CMS rate over the two-year rate, subject to a minimum of zero and a maximum interest rate of 10% per year, multiplied by the proportion of days on which the index’s closing level is at least 70% of the initial index level. Interest is payable quarterly.
The payout at maturity will be par.
Beginning June 30, 2020, the notes will be callable at par on any interest payment date.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Callable fixed-to-floating-rate notes
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Underlyings: | S&P 500 index, 30-year CMS rate, two-year CMS rate
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Amount: | $1.75 million
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Maturity: | June 30, 2030
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Coupon: | 10% for first year; after that, five times spread of 30-year CMS rate over two-year rate, subject to minimum of zero and maximum interest rate of 10% per year, multiplied by proportion of days on which index closes at or above minimum index level; payable quarterly
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Price: | Par
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Payout at maturity: | Par
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Call option: | At par on any interest payment date from June 30, 2020 onward
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Minimum index level: | 1,471.617, 70% of initial level
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Pricing date: | June 25
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Settlement date: | June 30
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Agent: | J.P. Morgan Securities LLC
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Fees: | 4.071%
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Cusip: | 48125UTF9
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