Published on 7/31/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.24 million callable range accrual floaters tied to S&P 500, Libor
By Toni Weeks
San Luis Obispo, Calif., July 31 – JPMorgan Chase & Co. priced $2.24 million of callable floating-rate range accrual notes due July 31, 2030 linked to six-month Libor and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate will be equal to the interest factor multiplied by the proportion of days on which the index closes at or above the index reference level, 75% of the initial index level, and Libor is 5% or less. The interest factor will initially be 6%, stepping up to 7% on July 31, 2020 and to 10% on July 31, 2025. Interest will be payable quarterly.
The payout at maturity will be par.
Beginning July 31, 2020, the notes will be callable at par on any interest payment date.
J.P. Morgan Securities LLC is the agent, with Morgan Stanley Wealth Management as dealer.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Range accrual notes
|
| Underlyings: | Six-month Libor, S&P 500 index
|
| Amount: | $2,241,000
|
| Maturity: | July 31, 2030
|
| Coupon: | Interest factor multiplied by proportion of days on which index closes at or above reference level and six-month Libor is between 0% and 5%; interest factor is 6% for first five years, stepping up to 7% on July 31, 2020 and to 10% on July 31, 2025; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | Beginning July 31, 2020, at par on any quarterly redemption date
|
| Initial index level: | 2,093.25
|
| Reference level: | 1,569.9375, 75% of initial level
|
| Pricing date: | July 28
|
| Settlement date: | July 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Dealer: | Morgan Stanley Wealth Management
|
| Fees: | 3.5%
|
| Cusip: | 48125UTT9
|
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