JPMorgan plans callable range accrual notes linked to indexes, rates

New York, July 17 – JPMorgan Chase Financial Co. LLC plans to price callable range accrual notes due July 28, 2022 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.

The interest rate is fixed at 7% for the first year. After that, it will be six times the spread of the 30-year ICE swap rate over the two-year ICE swap rate, subject to a minimum of zero and a maximum of 10% per year, multiplied by the proportion of days on which each index closes at or above its minimum index level, 60% of its initial level. Interest is payable quarterly.

Beginning July 28, 2018, the notes will be callable at par on any quarterly redemption date.

The payout at maturity will be par unless either index finishes below its barrier level, 60% of its initial level, in which case investors will be fully exposed to the decline of the worse performing index from its initial level.

J.P. Morgan Securities LLC is the agent.

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

The Cusip number is 46647MMD2.

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