JPMorgan to price notes linked to dollar ICE swap rates, Russell 2000

By Angela McDaniels

Tacoma, Wash., March 7 – JPMorgan Chase & Co. plans to price callable range accrual notes due March 31, 2026 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 10% 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 is 10 times the spread of the 30-year U.S. dollar ICE swap rate over the two-year U.S. dollar ICE swap rate, subject to a minimum of zero and a maximum rate of 9% per year. Interest is payable quarterly.

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

Beginning March 31 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 March 28.

The Cusip number is 48125U2V3.

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