JPMorgan plans callable range accrual notes tied to CMS rates, S&P 500

By Susanna Moon

Chicago, May 8 – JPMorgan Chase & Co. plans to price callable range accrual notes due May 29, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

Interest will be fixed at 10% for the first year. After that, it will accrue 10 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the 65% barrier level, up to a maximum rate of 10%. Interest will be payable quarterly and cannot be less than zero.

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

The notes are callable at par plus accrued interest on any quarterly redemption date beginning March 31, 2016.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 26 and settle on May 29.

The Cusip number is 48125UEA6.

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