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JPMorgan plans range accrual notes linked to six-month Libor, Russell
By Angela McDaniels
Tacoma, Wash., July 18 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due July 30, 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 at an annual rate equal to the interest factor multiplied by the proportion of days on which the index closes at or above the minimum index level, which will be 75% of the initial index level.
The interest factor is 9% for the first year. Beginning July 30, 2013, the interest factor will be the greater of (a) 2% per year and (b) (i) 1.2 times (ii) 6% per year minus six-month Libor. The interest factor is subject to a floor of zero and a cap of 7.2% per year.
The payout at maturity will be par.
Beginning July 30, 2013, the notes will be redeemable at par on any interest payment date.
The notes are expected to price July 25 and settle July 30.
J.P. Morgan Securities LLC is the agent.
The Cusip number is 48125VJ50.
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