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

By Toni Weeks

San Luis Obispo, Calif., March 31 – JPMorgan Chase & Co. plans to price callable range accrual notes due April 22, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

Interest will accrue at the applicable interest factor for each day that (i) the 30-year CMS rate minus the two-year CMS rate is zero or positive and (i) the index closes at or above the 75% barrier level, up to a maximum rate that is equivalent to the interest factor for that period. The interest factor is initially 8%, stepping up to 9% on April 22, 2020 and to 11% on April 22, 2025. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par unless the index finishes below the 50% barrier level, in which case investors will be fully exposed to the decline in the index.

The notes are callable at par plus accrued interest on any quarterly redemption date beginning Oct. 22, 2015.

J.P. Morgan Securities LLC is the agent.

The notes will price April 17 and settle April 22.

The Cusip number is 48125UDL3.

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