JPMorgan plans callable 15-year range accrual notes linked to indexes

By Susanna Moon

Chicago, March 21 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due March 28, 2029 linked to the S&P 500 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

Interest will accrue at 8% for each day that six-month Libor is 6.5% or less and each index closes at or above the 65% coupon barrier level. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par unless either index finishes below the 55% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.

The notes are callable at par on any quarterly call date beginning March 28, 2015.

J.P. Morgan Securities LLC is the agent.

The notes will price on March 25 and settle on March 28.

The Cusip number is 48126N5S2.

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