Published on 8/30/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $6.15 million callable range accrual notes on ICE swap rates, S&P
By Marisa Wong
Morgantown, W.Va., Aug. 30 – JPMorgan Chase Financial Co. LLC priced $6.15 million of leveraged callable range accrual securities due Aug. 31, 2026 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 and will be 10% for the first year. After that, for each day that the index is at least 75% of its initial level, interest will accrue at an annualized rate of 10 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate, subject to a minimum rate of 0% and a maximum rate of 10%.
If the index finishes at or above the 60% trigger level, the payout at maturity will be par. If the index finishes below the trigger level, investors will be fully exposed to the decline.
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 with Morgan Stanley Wealth Management handling distribution.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Leveraged callable range accrual notes
|
| Underlyings: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate and S&P 500 index
|
| Amount: | $6,145,000
|
| Maturity: | Aug. 31, 2026
|
| Coupon: | 10% for first year; after that, for each day that the index is at least 75% of initial level, annualized rate of 10 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate, subject to floor of 0% and cap of 10%; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless index finishes below trigger level, in which case full exposure to any losses
|
| Call option: | At par on any interest payment date beginning Aug. 31, 2017
|
| Initial index level: | 2,169.04
|
| Minimum level: | 1,626.78, 75% of initial level
|
| Trigger level: | 1,301.424, 65% of initial level
|
| Pricing date: | Aug. 26
|
| Settlement date: | Aug. 31
|
| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Wealth Management handling distribution
|
| Fees: | 3.5%
|
| Cusip: | 46646ETW2
|
|
|
© 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.
