JPMorgan to price callable range accrual notes on CMS rates, Russell

By Tali Rackner

Norfolk, Va., Feb. 10 – JPMorgan Chase & Co. plans to price callable range accrual notes due Feb. 26, 2021 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 7% for the first year. After that, the interest rate will equal the interest factor multiplied by the proportion of days on which the index’s closing level is at least 65% of its initial level. The interest factor will be 10 times the spread of the 30-year CMS rate over the two-year CMS rate, subject to a minimum of zero and a maximum rate of 7% per year.

Interest is payable quarterly.

The payout at maturity will be par unless the index finishes below the 65% barrier level, in which case investors will be fully exposed to the index’s decline.

Beginning Feb. 26, 2017, the notes will be callable at par on any quarterly redemption date.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 23 and settle on Feb. 26.

The Cusip number is 48125U2Q4.

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