Published on 9/29/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.03 million callable range accrual notes tied to ICE swap rates, indexes
By Angela McDaniels
Tacoma, Wash., Sept. 29 – JPMorgan Chase Financial Co. LLC priced $1.03 million of callable range accrual securities due Sept. 29, 2032 linked to 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The interest rate is 9% for the first year. After that, the interest rate will be nine times the spread of the 30-year ICE swap rate over the two-year ICE swap rate, subject to a minimum of zero and a maximum of 10% per year, multiplied by the proportion of days on which each index closes at or above its minimum index level, 65% of its initial level. Interest is payable quarterly.
The payout at maturity will be par unless either index finishes below its barrier level, 50% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.
Beginning Sept. 29, 2018, the notes are callable at par plus accrued interest on any quarterly redemption date.
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 and Russell 2000 index
|
| Amount: | $1,032,000
|
| Maturity: | Sept. 29, 2032
|
| Coupon: | 9% for first year; after that, nine times spread of 30-year ICE swap rate over two-year ICE swap rate, subject to minimum of zero and maximum of 10% per year, multiplied by proportion of days on which each index closes at or above minimum index level; payable quarterly
|
| Price: | Variable prices
|
| Payout at maturity: | Par unless either index finishes below barrier level, in which case full exposure to decline of lesser-performing index
|
| Call option: | Beginning Sept. 29, 2018, at par on any interest payment date
|
| Initial index levels: | 2,496.84 for S&P 500 and 1,456.863 for Russell 2000
|
| Minimum index levels: | 1,622.946 for S&P 500 and 946.96095 for Russell 2000; 65% of initial levels
|
| Barrier levels: | 1,248.42 for S&P 500 and 728.4315 for Russell 2000; 50% of initial levels
|
| Pricing date: | Sept. 26
|
| Settlement date: | Sept. 29
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.335%
|
| Cusip: | 46647MNF6
|
© 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.
