JPMorgan eyes callable range accrual securities on indexes, swap rates

By Sarah Lizee

Olympia, Wash., Feb. 21 – JPMorgan Chase Financial Co. LLC plans to price callable range accrual securities due Feb. 28, 2035 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The interest rate is 9.5% for the first year. After that, it will accrue at a rate of 9.5% for each day that the spread of the 30-year rate over the two-year rate is at least zero and each index closes at or above the 65% coupon barrier, payable quarterly.

The payout at maturity will be par unless either index finishes below its barrier level, 65% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.

After one year, the notes are callable at par plus accrued interest on any quarterly redemption date.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 25.

The Cusip number is 48130UTV7.

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