Published on 1/29/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $5 million callable range accrual notes on CMS rates, S&P 500
By Susanna Moon
Chicago, Jan. 29 – JPMorgan Chase & Co. priced $5 million of callable range accrual notes due Jan. 29, 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.
The coupon will be fixed at 10% for the first year. After that, it will accrue at a rate equal to 6.375 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 the 60% minimum index level, up to a maximum rate of 10%. 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 plus accrued interest on any quarterly redemption date after one year.
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: | S&P 500 index, 30-year CMS rate, two-year CMS rate
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Amount: | $5 million
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Maturity: | Jan. 29, 2031
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Coupon: | 10% for one year; after that, accrues at 6.375 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 the 60% minimum index level, up to a cap of 10% and with floor of zero; payable quarterly
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Price: | Par
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Payout at maturity: | Par unless index finishes below 50% barrier level, in which case investors will be fully exposed to any losses
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Call option: | At par on any interest payment date beginning Jan. 29, 2017
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Initial level: | 1,903.63
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Minimum level: | 1,142.178, 60% of initial level
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Barrier level: | 951.815, 50% of initial level
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Pricing date: | Jan. 26
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Settlement date: | Jan. 29
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Agent: | J.P. Morgan Securities LLC
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Fees: | 4.225%
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Cusip: | 48125U2J0
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