Published on 1/16/2013 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $87,000 callable range accrual notes on Russell 2000
By Susanna Moon
Chicago, Jan. 16 - JPMorgan Chase & Co. priced $87,000 of callable variable-rate range accrual notes due Jan. 18, 2028 linked to six-month Libor and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 7% for the first year. After that, it will accrue at 1.3 times the strike rate less six-month Libor, up to a maximum rate, for each day that the index closes at or above the trigger level.
The strike rate will be 5% from Jan. 18, 2014 to Jan. 18, 2018, stepping to 6% from Jan. 18, 2018 to Jan. 18, 2023 and to 6.5% from Jan. 18, 2023 to Jan. 18, 2028. The rate will be capped at 6.5% from Jan. 18, 2014 to Jan. 18, 2018, stepping to 7.8% from Jan. 18, 2018 to Jan. 18, 2023 and to 8.45% from Jan. 18, 2023 to Jan. 18, 2028.
Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
The notes are callable on any quarterly interest payment date after one year.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable variable-rate range accrual notes
|
| Underlying index: | Russell 2000 index
|
| Amount: | $87,000
|
| Maturity: | Jan. 18, 2028
|
| Coupon: | 7% for one year; after that, 1.3 times the strike rate mines six-month Libor, up to a cap, for each day that index closes above trigger level; strike rate will be 5% from Jan. 18, 2014 to Jan. 18, 2018, stepping to 6% from Jan. 18, 2018 to Jan. 18, 2023 and to 6.5% from Jan. 18, 2023 to Jan. 18, 2028; capped at 6.5% from Jan. 18, 2014 to Jan. 18, 2018, stepping to 7.8% from Jan. 18, 2018 to Jan. 18, 2023 and to 8.45% from Jan. 18, 2023 to Jan. 18, 2028
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Call option: | At par on any interest payment date beginning Jan. 18, 2014
|
| Trigger level: | 616.07, or 70% of initial level
|
| Pricing date: | Jan. 14
|
| Settlement date: | Jan. 18
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 6.07%, including selling concessions for 3.5%
|
| Cusip: | 48126DMD8
|
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