Published on 8/28/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $500,000 range accrual notes linked to Libor, S&P 500
By Angela McDaniels
Tacoma, Wash., Aug. 28 – JPMorgan Chase & Co. priced $500,000 of callable range accrual notes due Aug. 29, 2026 linked to the S&P 500 index and six-month Libor, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 7% per year multiplied by the proportion of days on which the index's closing level is greater than or equal to 75% of the initial index level and Libor is 6% or less. Interest is payable quarterly.
If the final index level is greater than or equal to the barrier level, 60% of the initial index level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the index’s final level is less than its initial level.
Beginning Aug. 29, 2015, the notes will be callable at par on any interest payment date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
|
| Underlyings: | S&P 500 index and six-month Libor
|
| Amount: | $500,000
|
| Maturity: | Aug. 29, 2026
|
| Coupon: | 7% per year multiplied by proportion of days on which index closes at or above minimum index level and Libor is 6% or less; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than or equal to barrier level, par; otherwise, 1% loss for every 1% that index’s final level is less than initial level
|
| Call option: | At par on any interest payment date from Aug. 29, 2015 onward
|
| Initial index level: | 2,000.02
|
| Barrier level: | 1,200.012, 60% of initial level
|
| Minimum index level: | 1,500.015, 75% of initial level
|
| Pricing date: | Aug. 26
|
| Settlement date: | Aug. 29
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.75%
|
| Cusip: | 48126N7J0
|
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