Published on 10/7/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $7.85 million callable range accrual notes on S&P 500, swap rates
By Marisa Wong
Morgantown, W.Va., Oct. 7 – JPMorgan Chase Financial Co. LLC priced $7.85 million of leveraged callable range accrual securities due Sept. 30, 2031 linked to the 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.
The interest rate will be fixed at 9.25% for the first two years. After that, the interest rate will be equal to the interest factor multiplied by the proportion of days on which the index closes at or above the index reference level, 75% of the initial index level. The interest factor is 12 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate, subject to a minimum of zero and a maximum rate of 10% per year. Interest will be payable quarterly.
If the final index level is greater than or equal to the trigger level, 50% of the initial index level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial level.
Beginning Sept. 30, 2017, the notes will be callable at par on any quarterly redemption date.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Leveraged callable range accrual notes
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| Underliers: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate, S&P 500 index
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| Amount: | $7.85 million
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| Maturity: | Sept. 30, 2031
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| Coupon: | Fixed at 9.25% for the first two years; after that, interest factor multiplied by the proportion of days on which the index closes at or above the index reference level; interest factor is 12 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate, subject to a minimum of zero and a maximum rate of 10% per year; payable quarterly
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| Price: | Par
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| Payout at maturity: | If the final index level is greater than or equal to the trigger level, par; otherwise, 1% loss for every 1% that the final index level is less than the initial level
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| Call option: | Beginning Sept. 30, 2017, at par on any quarterly redemption date
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| Initial index level: | 2,171.37
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| Index reference level: | 1,628.5275, 75% of initial level
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| Trigger level: | 1,085.685, 50% of initial level
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| Pricing date: | Sept. 28
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| Settlement date: | Sept. 30
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| Agent: | J.P. Morgan Securities LLC with distribution through Morgan Stanley Wealth Management
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| Fees: | 3.5%
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| Cusip: | 46646EC75
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