JPMorgan plans callable range accrual CDs on six-month Libor, Russell

By Toni Weeks

San Luis Obispo, Calif., July 10 - JPMorgan Chase Bank, NA plans to price callable variable-rate range accrual CDs due July 25, 2028 linked to six-month Libor and the Russell 2000 index, according to a term sheet.

The CDs pay a coupon equal to the interest factor multiplied by the proportion of days on which the index closes at or above 700. The interest factor is (a) 2 times (b) the strike rate minus six-month Libor. The strike rate is 5.5% for the first 10 years, stepping up to 6% on July 25, 2023. The interest will be capped at 11% for the first 10 years and 12% for the last five years. Interest is payable quarterly and cannot be less than zero.

The CDs are callable at par on any quarterly interest payment date after one year.

The payout at maturity will be par.

The CDs (Cusip: 48124JT40) are expected to price July 22 and settle July 25.

J.P. Morgan Securities LLC will be the agent. Incapital LLC is the distributor.

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