Published on 3/30/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.81 million range accrual notes linked to CMS rates, S&P 500
By Angela McDaniels
Tacoma, Wash., March 30 – JPMorgan Chase & Co. priced $1.81 million of callable range accrual notes due March 29, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is the interest factor multiplied by the proportion of days on which the spread of the 30-year CMS rate over the two-year CMS rate is at least zero and the index closes at or above the minimum index level, 75% of the initial index level. The interest factor is 8% per year for years one through seven and 10% per year for years eight through 15. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% barrier level, in which case investors will be fully exposed to the index’s decline.
Beginning Sept. 30, 2015, the notes are callable at par on any quarterly redemption date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $1,812,000
|
| Maturity: | March 29, 2030
|
| Coupon: | Interest factor multiplied by proportion of days on which spread of 30-year CMS rate over two-year CMS rate is at least zero and index closes at or above minimum index level; interest factor is 8% per year for years one through seven and 10% per year for years eight through 15; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless index finishes below barrier level, in which case full exposure to index’s decline
|
| Call option: | Beginning Sept. 30, 2015, at par on any quarterly redemption date
|
| Initial index level: | 2,056.15
|
| Minimum index level: | 1,542.1125, 75% of initial level
|
| Barrier level: | 1,028.075, 50% of initial level
|
| Pricing date: | March 26
|
| Settlement date: | March 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.944%
|
| Cusip: | 48125UCP5
|
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