JPMorgan plans range accrual notes tied to six-month Libor, Russell

By Marisa Wong

Madison, Wis., Feb. 12 - JPMorgan Chase & Co. plans to price range accrual notes due Feb. 27, 2028 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. The interest rate is 7% for the first three years. Beginning Feb. 27, 2016, the interest rate will be the interest factor multiplied by the proportion of days on which the closing level of the Russell 2000 is at least 645.

The interest factor is (a) 1.2 times (b) the strike rate minus six-month Libor, subject to a minimum of zero and a maximum interest rate.

The strike is initially 6% and steps up to 6.5% on Feb. 27, 2018 and to 7% on Feb. 27, 2023.

The maximum interest rate is 7.2% beginning Feb. 27, 2016 and steps up to 7.8% on Feb. 27, 2018 and to 8.4% on Feb. 27, 2023.

The payout at maturity will be par.

Beginning Feb. 27, 2016, the notes will be callable at par on any interest payment date.

The notes are expected to price Feb. 22 and settle Feb. 27.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48126DMW6.

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