Published on 5/27/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $9.74 million range accrual notes linked to S&P 500, swap rates
By Angela McDaniels
Tacoma, Wash., May 27 – JPMorgan Chase Financial Co. LLC priced $9.74 million of leveraged callable range accrual securities due May 27, 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 10% for the first year. 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 is 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 May 27, 2017, the notes are 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 securities
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Underliers: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate and S&P 500 index
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Amount: | $9,743,000
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Maturity: | May 27, 2031
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Coupon: | Fixed at 10% for first year; after that, interest factor multiplied by proportion of days on which index closes at or above index reference level; payable quarterly
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Interest factor: | 12 times spread of 30-year ICE swap rate over two-year ICE swap rate, subject to minimum of zero and maximum rate of 10% per year
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Price: | Par
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Payout at maturity: | If final index level is greater than or equal to trigger level, par; otherwise, 1% loss for every 1% that final index level is less than initial level
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Call option: | Beginning May 27, 2017, notes are callable at par on any quarterly redemption date
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Initial index level: | 2,076.06
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index reference level: | 1,557.045, 75% of initial index level
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Trigger level: | 1,038.03, 50% of initial level
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Pricing date: | May 24
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Settlement date: | May 27
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Agent: | J.P. Morgan Securities LLC
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Distribution: | Morgan Stanley Wealth Management
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Fees: | 3.5%
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Cusip: | 46646ECG5
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