New Issue: JPMorgan sells $1.5 million callable range accrual notes on ICE swap rates, indexes

Chicago, Dec. 8 – JPMorgan Chase Financial Co. LLC priced $1.5 million of callable range accrual securities due March 31, 2036 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

For the first year, interest will be 10%, payable quarterly.

After the first year, the annual interest rate will be determined by taking the 30-year swap rate minus the two-year swap rate times nine, subject to a 0% minimum rate and a maximum 10% rate.

Quarterly interest will be paid and determined by taking the interest rate and multiplying it by the number of days in the accrual period when each index finishes above at least 70% of its initial level.

After one year, the notes are callable at par plus accrued interest on any quarterly redemption date.

If each index finishes at or above the barrier level, 65% of initial level, payout at maturity will be par. If either index falls by more than 35%, investors will be fully exposed to losses of the lesser performer.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Callable range accrual notes
Underlyings:	30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index, Euro Stoxx 50 index
Amount:	$1.5 million
Maturity:	March 31, 2036
Coupon:	10% annual rate for first year; after first year, annualized rate of 30-year swap rate minus the two-year swap rate times nine, subject to a 0% floor and a 10% cap; payable quarterly based on number of days in the quarterly accrual period when each index finishes above 70% of initial level divided by the actual days times the interest rate
Price:	Par
Payout at maturity:	If each index finishes at or above barrier, par; if either falls by more than 35%, 1% loss for every 1% decline of the lesser performer
Call option:	After one year, at par on any interest payment date
Initial index level:	3,971.09 for S&P, 3,882.87 for Stoxx
Accrual barrier:	2,779.763 for S&P, 2,718.009 for Stoxx; 70% of initial level
Barrier level:	2,581.2085 for S&P, 2,523.8655 for Stoxx; 65% of initial level
Pricing date:	March 29
Settlement date:	March 31
Agent:	J.P. Morgan Securities LLC
Fees:	4.75%
Cusip:	48130UVR3

© 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.