Published on 10/8/2013 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.22 million callable range accrual notes linked to Libor, S&P 500
By Toni Weeks
San Luis Obispo, Calif., Oct. 8 - JPMorgan Chase & Co. priced $1.22 million of callable range accrual notes due Oct. 9, 2028 linked to six-month Libor and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
For each day that the index closes at or above 1,250, interest will accrue at 10.25% for the first three years and, after that, at a rate equal to (i) two times (ii) the applicable strike rate minus six-month Libor. The strike rate will be 5% beginning Oct. 9, 2016, stepping up to 5.5% on Oct. 9, 2018 and to 6% on Oct. 9, 2023. The interest rate will be capped at 10% beginning Oct. 9, 2016, stepping up to 11% on Oct. 9, 2018 and to 12% on Oct. 9. 2023. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
The notes will be callable at par on any interest payment date after three years.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
|
| Underlying index: | S&P 500
|
| Amount: | $1,215,000
|
| Maturity: | Oct. 9, 2028
|
| Coupon: | For each day that the index closes at or above 1,250, 10.25% annualized for first three years, then (i) two times (ii) the applicable strike rate minus six-month Libor; strike rate is 5% beginning Oct. 9, 2016, stepping up to 5.5% on Oct. 9, 2018 and to 6% on Oct. 9, 2023; interest capped at 10% beginning Oct. 9, 2016, 11% beginning Oct. 9, 2018 and 12% beginning Oct. 9. 2023; payable quarterly, with minimum rate of 0%
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Call option: | At par on any interest payment date beginning Oct. 9, 2016
|
| Index reference level: | 1,250
|
| Pricing date: | Oct. 4
|
| Settlement date: | Oct. 9
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.114%
|
| Cusip: | 48126D7M5
|
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