JPMorgan plans variable-rate range accrual notes tied to Libor, S&P 500

By Angela McDaniels

Tacoma, Wash., March 20 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due March 30, 2027 linked to Libor and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Interest is payable quarterly. The interest rate will be 9% for the first year. Beginning March 30, 2013, the interest rate will be the interest factor multiplied by the proportion of days on which the closing level of the S&P 500 is at least 835. The interest factor is (a) 1.25 times (b) 7% per year minus Libor, subject to a minimum of zero and a maximum of 8.75% per year.

The payout at maturity will be par.

Beginning March 30, 2013, the notes will be redeemable at par on any interest payment date.

The notes (Cusip: 48125VUC2) are expected to price March 27 and settle March 30.

J.P. Morgan Securities LLC is the agent.

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