Published on 5/29/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $5 million notes linked to CMS rates, Russell 2000
By Toni Weeks
San Luis Obispo, Calif., May 29 - JPMorgan Chase & Co. priced $5 million of fixed-to-floating notes due May 30, 2034 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first year. After that, it will accrue at 4 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 70% minimum index level, up to a maximum coupon of 10%. Interest will be payable monthly and cannot be less than zero.
The payout at maturity will be par.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Fixed-to-floating notes
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Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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Amount: | $5 million
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Maturity: | May 30, 2034
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Coupon: | 10% initially; beginning May 30, 2015, 4 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above minimum index level, up to a cap of 10%; payable monthly
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Price: | Variable
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Payout at maturity: | Par
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Minimum index level: | 799.5407, 70% of initial level
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Pricing date: | May 27
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Settlement date: | May 30
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Agent: | J.P. Morgan Securities LLC
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Fees: | 3.5%
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Cusip: | 48126N6H5
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