JPMorgan to price callable range accrual notes on CMS rates, S&P 500

By Wendy Van Sickle

Columbus, Ohio, Jan. 12 – JPMorgan Chase & Co. plans to price callable range accrual notes due Jan. 22, 2031 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will accrue at 8% annualized for each day the index’s closing level is at least 70% of its initial level and the 30-year CMS rate is greater than the two-year CMS rate. Interest is payable quarterly.

The payout at maturity will be par unless the index finishes below the 50% barrier level, in which case investors will be fully exposed to the index’s decline.

Beginning Jan. 22, 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 Jan. 19 and settle Jan. 22.

The Cusip number is 48125U2K7.

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