JPMorgan plans 15-year range accrual notes on S&P, six-month Libor

By Jennifer Chiou

New York, Nov. 20 – JPMorgan Chase & Co. plans to price range accrual notes due Dec. 24, 2029 linked to the S&P 500 index and six-month Libor, according to an FWP with the Securities and Exchange Commission.

For the first five years, up to but excluding Dec. 24, 2019, interest will accrue at an annual rate of 5% for each day on which six-month Libor is greater than 0% and less than or equal to 4% and the S&P 500 index closes at a level of 75% or more of its initial value.

For the next five years, from Dec. 24, 2019 up to Dec. 24, 2024, interest will accrue at an annual rate of 7% for each day on which six-month Libor is greater than 0% and less than or equal to 5% and the S&P 500 index closes at a level of 75% or more of its initial value.

For the final five years, from Dec. 24, 2024 up to the maturity date, interest will accrue at an annual rate of 9% for each day on which six-month Libor is greater than 0% and less than or equal to 6% and the S&P 500 index closes at a level of 75% or more of its initial value.

The payout at maturity will be par.

The notes are callable at par on any quarterly call date beginning on Dec. 24, 2019.

The notes (Cusip: 48127DPG7) will price on Dec. 19.

J.P. Morgan Securities LLC is the agent.

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