Published on 7/31/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.68 million callable range accrual notes on ICE swap rates, indexes
By Susanna Moon
Chicago, July 31 – JPMorgan Chase Financial Co. LLC priced $1.68 million of callable range accrual securities due July 28, 2022 linked to 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be 7% for the first year. After that, interest will accrue at an annualized rate of 6 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate for each day that each index is at least 60% of its initial level, up to a maximum rate of 10%. Interest is payable quarterly.
The payout at maturity will be par unless either index finishes below the 60% barrier level, in which case investors will be fully exposed to any losses of the worse performing index.
The notes are callable at par plus accrued interest on any quarterly redemption date after one year.
The notes are guaranteed by JPMorgan Chase & Co.
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: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate and S&P 500 index, Russell 2000 index
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| Amount: | $1,675,000
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| Maturity: | July 28, 2022
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| Coupon: | 7% initially; beginning July 28, 2018, annualized rate equal to 6 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate for each day that each index closes at or above 60% barrier level, capped at 10%; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below 60% barrier level, in which case full exposure to any losses of worse performing index
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| Call option: | At par on any interest payment date beginning July 28, 2018
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| Initial index levels: | 2,477.13 for S&P, 1,450.387 for Russell
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| Barrier levels: | 1,486.278 for S&P, 870.2322 for Russell, 60% of initial levels
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| Pricing date: | July 25
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| Settlement date: | July 28
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.187%
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| Cusip: | 46647MMD2
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