JPMorgan plans callable range accrual notes linked to indexes, rates

By Susanna Moon

Chicago, Aug. 22 – JPMorgan Chase Financial Co. LLC plans to price callable range accrual notes due Sept. 3, 2024 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.

The notes will be guaranteed by JPMorgan Chase & Co.

Interest will be fixed at 7% for the first year. After that, it will accrue at 8 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 65% minimum index 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 65% barrier level, in which case investors will be fully exposed to the decline of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 29 and settle on Sept. 1.

The Cusip number is 46647MNB5.

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