Published on 6/30/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3.67 million callable range accrual notes on S&P, swap rates
By Wendy Van Sickle
Columbus, Ohio, June 30 – JPMorgan Chase Financial Co. LLC priced $3.67 million of callable range accrual notes due June 30, 2031 linked to 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Interest is payable quarterly. For the first year, interest will accrue at an annualized rate of 10%. After that, for each day that the index is at least 75% of its initial level, interest will accrue at 12 times the 30-year ICE swap rate minus the two-year ICE swap rate, with a floor of zero and a cap of 10% per annum
The payout at maturity will be par plus any accrued interest unless the index finishes below the 50% barrier level, in which case investors will be fully exposed to any losses in the index.
The notes are callable at par plus accrued interest on any quarterly redemption date after one year.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Callable range accrual notes
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| Underlyings: | S&P 500 index, 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate
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| Amount: | $3,673,000
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| Maturity: | June 30, 2031
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| Coupon: | Fixed at 10% for the first year; after that, 12 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate for each day that the index closes at or above 75% of initial level, up to a cap of 10% and with floor of zero; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless index finishes below 50% barrier level, in which case investors will be fully exposed to any losses
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| Call option: | At par on any interest payment date beginning June 30, 2017
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| Initial index level: | 2,000.54
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| Barrier level: | 1,000.27, 50% of initial level
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| Pricing date: | June 27
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| Settlement date: | June 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.753%
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| Cusip: | 46646EDY5
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