JPMorgan plans callable range accrual securities on S&P, swap rates

By Wendy Van Sickle

Columbus, Ohio, Aug. 8 – JPMorgan Chase Financial Co. LLC plans to price leveraged callable range accrual securities due Aug. 31, 2026 linked to 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

Interest will be 10% per annum for the first year and is payable quarterly. After that, for each day that the index is at least 75% of its initial level and the 30-year ICE swap rate minus the two-year ICE swap rate is at least zero, interest will accrue at an annualized rate of 10%.

The payout at maturity will be par plus any accrued interest unless the index finishes below the 60% trigger level, in which case investors will be fully exposed to any losses in the index.

The notes are callable at par plus accrued interest on any quarterly redemption date after one year.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 26 and settle on Aug. 31.

The Cusip number is 46646ETW2.

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