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JPMorgan plans 15-year range accrual notes on S&P 500, six-month Libor
By Marisa Wong
Madison, Wis., Feb. 20 – JPMorgan Chase & Co. plans to price range accrual notes due Feb. 27, 2030 linked to the S&P 500 index and six-month Libor, according to an FWP with the Securities and Exchange Commission.
For the first five years, up to but excluding Feb. 27, 2020, interest will accrue at an annual rate of 4% for each day on which six-month Libor is greater than 0% and less than or equal to 5% and the S&P 500 index closes at a level of 75% or more of its initial value.
Beginning on Feb. 27, 2020, interest will accrue at an annual rate of 8% for each day on which six-month Libor is greater than 0% and less than or equal to 5% and the S&P 500 index closes at a level of 75% or more of its initial value.
The payout at maturity will be par.
The notes are callable at par on any quarterly call date beginning on Feb. 27, 2016.
J.P. Morgan Securities LLC is the agent.
The notes will price on Feb. 25.
The Cusip number is 48125UCH3.
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