By Marisa Wong
Madison, Wis., Jan. 29 - JPMorgan Chase & Co. priced $580,000 of callable range accrual notes due Jan. 30, 2028 linked to six-month Libor and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly and will equal the interest factor times the proportion of days in the interest period on which the index closes at or above 75% of its initial level, subject to a minimum rate of zero and a maximum rate. The maximum rate is 8% initially, stepping down to 6.875% after one year, stepping up to 7.5% in year six and stepping up to 8.125% in year 10.
The interest factor is initially 8%. After one year, the interest factor will be 1.25 times the difference of the strike rate minus six-month Libor. The strike rate is 5.5% for years two through five, 6% for years six through 10 and 6.5% from year 11 to maturity.
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 range accrual notes linked to six-month Libor and the Russell 2000 index
|
| Amount: | $580,000
|
| Maturity: | Jan. 30, 2028
|
| Coupon: | Interest factor multiplied by proportion of days on which index closes at or above minimum index level, subject to floor of zero and cap; cap is 8% initially, stepping down to 6.875% after one year, stepping up to 7.5% in year six and stepping up to 8.125% in year 10; interest factor is initially 8%, after one year 1.25 times difference of strike rate minus six-month Libor; strike rate is 5.5% for years two through five, 6% for years six through 10 and 6.5% from year 11 to maturity; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Call option: | At par on any interest payment date beginning Jan. 30, 2014
|
| Minimum index level: | 678.93, 75% of initial level
|
| Pricing date: | Jan. 25
|
| Settlement date: | Jan. 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 5.406%, including 3.698% for selling concessions
|
| Cusip: | 48126DMF3
|
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