JPMorgan plans range accrual notes tied to six-month Libor, Russell

By Toni Weeks

San Luis Obispo, Calif., Jan. 29 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due Feb. 13, 2028 linked to six-month Libor and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The interest rate will be the interest factor multiplied by the proportion of days on which the index closes at or above 645, subject to a minimum interest rate of zero and a maximum interest rate. Interest will be payable quarterly.

The interest factor will be 8% for the first year. In years two through five, it will be (a) 1.2 times (b) 5.75% per year minus six-month Libor. In years six through 10, it will be (a) 1.2 times (b) 6.25% per year minus six-month Libor. In years 11 through 15, it will be (a) 1.2 times (b) 6.75% per year minus six-month Libor.

The maximum interest rate will be 8% in year one, 6.9% per year in years two through five, 7.5% per year in years six through 10 and 8.1% per year in years 11 through 15.

The payout at maturity will be par plus the last coupon payment, if any.

Beginning Feb. 13, 2014, the notes will be callable at par on any interest payment date.

The notes are expected to price Feb. 8 and settle Feb. 13.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48126DMP1.

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