JPMorgan plans range accrual notes linked to five-year ICE swap rate

By Angela McDaniels

Tacoma, Wash., Jan. 8 – JPMorgan Chase Financial Co. LLC plans to price callable range accrual notes due Jan. 25, 2021 linked to the five-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

The interest rate will be 9.25% per year multiplied by the proportion of days on which the swap rate is greater than or equal to 2.052%, which is 80% of the 2.565% strike level. Interest will be payable quarterly.

Beginning July 23, 2019, the notes will be callable at par on any quarterly redemption date.

The payout at maturity will be par unless the final swap rate is less than 2.052%, in which case the payout will be $1,000 plus the product of $1,000 multiplied by the rate return. The rate return will equal the quotient of (a) the final swap rate minus 2.565% divided by (b) 2.565%.

J.P. Morgan Securities LLC is the agent.

The notes will price Jan. 18.

The Cusip number is 43130UPU3.

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