JPMorgan plans callable 15-year range accrual notes linked to Russell

By Susanna Moon

Chicago, Oct. 7 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due Oct. 18, 2028 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest will be fixed at 10.4% for the first three years. After that, it will accrue at 2 times the difference between the strike rate and six-month Libor for each day that the index closes at or above the reference level of 750, up to a maximum rate. Interest will be payable quarterly and cannot be less than zero.

The strike rate will be 5% beginning Oct. 18, 2016, 5.5% beginning Oct. 18, 2018 and 6% beginning Oct. 18, 2023. The rate cap will be 10% from Oct. 18, 2016 to Oct. 18, 2018, 11% from Oct. 18, 2018 to Oct. 18, 2023 and 12% from Oct. 18, 2023 to Oct. 18, 2028.

The payout at maturity will be par.

The notes are callable at par on any quarterly call date beginning Oct. 18, 2016.

J.P. Morgan Securities LLC is the agent.

The notes will price on Oct. 15 and settle on Oct. 18.

The Cusip number is 48126NSW8.

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