JPMorgan plans callable range accrual notes on Libor, Russell 2000

By Toni Weeks

San Diego, Dec. 17 - JPMorgan Chase & Co. plans to price callable range accrual notes due Dec. 27, 2027 linked to six-month Libor and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest is payable quarterly and will equal the interest factor times the proportion of days in the interest period on which the closing level of the Russell 2000 index is at least 630 and six-month Libor is less than or equal to the applicable strike level, subject to a minimum rate of zero.

The interest factor and Libor strike level are both initially 4.5%. Both will step up to 5.5% on Dec. 27, 2017 and to 6% on Dec. 27, 2022.

The payout at maturity will be par.

The notes are callable on any quarterly interest payment date after one year.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48126DMA4) will price on Dec. 21 and settle on Dec. 27.

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