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

By Marisa Wong

Madison, Wis., Dec. 3 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due Dec. 14, 2027 linked to six-month Libor and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Interest is payable quarterly and will equal the interest factor times the proportion of days on which the closing level of the S&P 500 index is at least 75% of the initial level, subject to a minimum rate of zero and a variable maximum rate.

The interest factor is 8% for the first year, 1.2 to 1.3 times 5% minus six-month Libor for years two through five, 1.2 to 1.3 times 5.5% minus six-month Libor for years six through 10 and 1.2 to 1.3 times 6% minus six-month Libor for years 11 to 15. The exact multiplier will be set at pricing.

The coupon is capped at 8% for the first year, between 6% and 6.5% for years two through five, between 6.6% and 7.15% for years six through 10 and between 7.2% and 7.8% for years 11 through 15. The exact caps will be set at pricing.

The payout at maturity will be par.

The notes are callable on any interest payment date after one year.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48126DLU1) will price on Dec. 11 and settle on Dec. 14.

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