Published on 9/3/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3.55 million callable range accrual notes on CMS rates, S&P 500
By Marisa Wong
Morgantown, W.Va., Sept. 3 – JPMorgan Chase & Co. priced $3.55 million of callable range accrual notes due Aug. 31, 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.
Interest will be fixed at 10% for the first year. After that, it will accrue 10 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the 65% minimum index level. The quarterly coupon is capped at 10% and has a floor of 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 any losses.
The notes are callable at par plus accrued interest on any quarterly redemption date beginning on Aug. 31, 2016.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
|
| Underlying components: | S&P 500, 30-year CMS rate, two-year CMS rate
|
| Amount: | $3,546,000
|
| Maturity: | Aug. 31, 2030
|
| Coupon: | 10% initially; beginning on Aug. 31, 2016, 10 times spread of 30-year CMS rate over two-year CMS rate for each day that the index closes at or above 65% minimum index level, up to a cap of 10% with floor of zero; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless index finishes below 50% barrier level, in which case investors will be fully exposed to any losses
|
| Call option: | At par on any interest payment date beginning Aug. 31, 2016
|
| Initial level: | 1,940.51
|
| Minimum index level: | 1,261.3315, 65% of initial level
|
| Barrier level: | 970.255, 50% of initial level
|
| Pricing date: | Aug. 26
|
| Settlement date: | Aug. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.068%
|
| Cusip: | 48125UUK6
|
|
|
© 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.
