JPMorgan plans variable-rate range accrual notes tied to Euro Stoxx 50

By Marisa Wong

Madison, Wis., March 14 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due March 29, 2029 linked to six-month Libor and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

Interest will be fixed at 12% for the first year. After that, it will be a variable rate equal to the interest factor multiplied by the proportion of days on which the index closes at or above the minimum index level, which will be 75% of the initial level, up to a cap. Interest will be payable quarterly and cannot be less than zero.

The interest factor is (a) 2 times (b) the strike rate minus six-month Libor. The strike rate will be 6% initially, stepping up to 7% on March 31, 2019 and to 8.5% on March 31, 2024.

The interest rate cap will be 12% initially, stepping up to 14% on March 31, 2019 and to 17% on March 31, 2024.

The payout at maturity will be par unless the index finishes below 50% of its initial level, in which case investors will share fully in losses.

The notes will be callable at par on any interest payment date after one year.

J.P. Morgan Securities LLC is the agent.

The notes will price on March 27 and settle on March 31.

The Cusip number is 48126N5P8.

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