Published on 12/10/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2 million range accrual notes linked to CMS rates, S&P 500
By Angela McDaniels
Tacoma, Wash., Dec. 10 – JPMorgan Chase & Co. priced $2 million of callable range accrual notes due Nov. 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.
The interest rate is 10% for the first year. After that, the interest rate will equal the interest factor multiplied by the proportion of days on which the index’s closing level is at least 65% of its initial level. The interest factor is the multiplier multiplied by the spread of the 30-year CMS rate over the two-year CMS rate, subject to a minimum of zero and a maximum rate of 10% per year. Interest is payable quarterly.
The multiplier is seven from Nov. 30, 2016 to but excluding Nov. 30, 2019, nine from Nov. 30, 2019 to but excluding Nov. 30, 2024 and 10 from Nov. 30, 2024 through but excluding Nov. 30, 2030.
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 Nov. 30, 2016, the notes will be callable at par on any quarterly redemption date.
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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Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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Amount: | $2 million
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Maturity: | Nov. 30, 2030
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Coupon: | 10% for first year; then interest factor multiplied by proportion of days on which index closes at or above minimum index level; interest factor is multiplier times spread of 30-year CMS rate over two-year CMS rate, subject to minimum of zero and maximum rate of 10% per year; payable quarterly
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Multiplier: | Seven from Nov. 30, 2016 to but excluding Nov. 30, 2019, nine from Nov. 30, 2019 to but excluding Nov. 30, 2024 and 10 from Nov. 30, 2024 through but excluding Nov. 30, 2030
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Price: | Par
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Payout at maturity: | Par unless index finishes below barrier level, in which case full exposure to index’s decline
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Call option: | Beginning Nov. 30, 2016, at par on any quarterly redemption date
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Initial index level: | 2,089.14
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Minimum index level: | 1,357.941, 65% of initial level
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Barrier level: | 1,044.57, 50% of initial level
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Pricing date: | Nov. 24
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Settlement date: | Nov. 30
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Agent: | J.P. Morgan Securities LLC
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Fees: | 4%
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Cusip: | 48125U2G6
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