JPMorgan plans callable range accrual notes linked to indexes, rates

By Wendy Van Sickle

Columbus, Ohio, Dec. 14 – JPMorgan Chase Financial Co. LLC plans to price callable range accrual notes due Dec. 29, 2025 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be fixed at 8% for the first year. After that, it will accrue at 50 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate for each day that the indexes close at or above the 60% barrier level, up to a maximum of 8% per year. Interest is payable quarterly and cannot be less than zero.

The notes will be callable at par on any quarterly redemption date after one year.

The payout at maturity will be par unless either index finishes below its barrier level, in which case investors will be fully exposed to the decline of the worse performing index.

The notes will be guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price on Dec. 23 and settle on Dec. 29.

The Cusip number is 48130UPR0.

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