Published on 2/27/2013 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $50,000 variable-rate range accrual notes linked to Libor, Russell 2000
By Jennifer Chiou
New York, Feb. 27 - JPMorgan Chase & Co. priced $50,000 of callable variable-rate range accrual notes due Feb. 27, 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. The interest rate is 7% for the first three years. Beginning on Feb. 27, 2016, the interest rate will be the interest factor multiplied by the proportion of days on which the closing level of the Russell 2000 is at least 645. The interest factor is (a) 1.2 times (b) the strike rate minus six-month Libor, subject to a minimum of zero and a specified maximum interest rate.
The strike is initially 6% and steps up to 6.5% on Feb. 27, 2018 and to 7% on Feb. 27, 2023. The maximum interest rate is initially 7%, stepping up to 7.2% on Feb. 27, 2016, to 7.8% on Feb. 27, 2018 and to 8.4% on Feb. 27, 2023.
The payout at maturity will be par.
Beginning on Feb. 27, 2016, the notes will be redeemable at par on any interest payment date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable variable-rate range accrual notes
|
| Underlying components: Six-month Libor and Russell 2000 index
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| Amount: | $50,000
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| Maturity: | Feb. 27, 2028
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| Coupon: | 7% for first three years; beginning on Feb. 27, 2016, interest factor multiplied by proportion of days on which Russell 2000 closes at or above 645; payable quarterly
|
| Interest factor: | (a) 1.2 times (b) strike rate minus six-month Libor, subject to minimum of zero and maximum interest rate of 7% that steps up to 7.2% on Feb. 27, 2016, to 7.8% on Feb. 27, 2018 and to 8.4% on Feb. 27, 2023
|
| Strike rate: | Initially 6%; steps up to 6.5% on Feb. 27, 2018 and to 7% on Feb. 27, 2023
|
| Price: | Variable
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| Payout at maturity: | Par
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| Call option: | At par on any interest payment date from Feb. 27, 2016 onward
|
| Pricing date: | Feb. 22
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| Settlement date: | Feb. 27
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.55%, including 3% for selling concessions
|
| Cusip: | 48126DMW6
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