Published on 1/21/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.32 million callable range accrual notes on CMS rates, S&P 500
By Marisa Wong
Morgantown, W.Va., Jan. 21 – JPMorgan Chase & Co. priced $1.32 million of callable range accrual notes due Jan. 22, 2031 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 an annualized rate 8% 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 index level. The quarterly coupon is capped at 8% and has a floor of 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 Jan. 22, 2017.
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 index, 30-year CMS rate, two-year CMS rate
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| Amount: | $1,315,000
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| Maturity: | Jan. 22, 2031
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| Coupon: | 8% per year for each day spread of 30-year CMS rate over two-year CMS rate is greater than or equal to zero and index closes at or above minimum index level, up to a cap of 8% with floor of zero; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless index finishes below 50% barrier level, in which case investors will be fully exposed to any losses
|
| Call option: | At par on any interest payment date beginning Jan. 22, 2017
|
| Initial level: | 1,881.33
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| Minimum index level: | 1,316.931, 70% of initial level
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| Barrier level: | 940.665, 50% of initial level
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| Pricing date: | Jan. 19
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| Settlement date: | Jan. 22
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.2%
|
| Cusip: | 48125U2K7
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