JPMorgan plans variable-rate range accrual notes on S&P 500, Libor

By Toni Weeks

San Diego, March 1 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due March 21, 2027 linked to the S&P 500 index and Libor, according to an FWP filing with the Securities and Exchange Commission.

The interest rate will be 8% for the first year. After that, the coupon will accrue at the interest factor on every day that the S&P 500 closes at or above 930. The interest factor is a per-year rate equal to (i) 1.2 times (ii) 7% minus Libor, subject to a maximum of 8.4% and a minimum of zero. Interest will be payable quarterly.

The payout at maturity will be par.

After one year, the notes will be callable at par on any interest payment date.

The notes (Cusip: 48125VQJ2) will price March 16 and settle March 21.

J.P. Morgan Securities LLC is the agent.

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