JPMorgan plans leveraged callable range accrual notes tied to S&P 500

By Marisa Wong

Morgantown, W.Va., March 11 – JPMorgan Chase & Co. plans to price leveraged callable range accrual securities due March 31, 2031 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first year, payable quarterly. After that, it will accrue at 12 times the spread of the 30-year U.S. dollar ICE swap rate over the two-year U.S. dollar ICE swap rate for each day the index closes at or above its 75% reference level, up to a maximum rate of 10%. Interest is payable quarterly and cannot be less than zero.

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

The notes are callable on any quarterly redemption date beginning March 31, 2017.

J.P. Morgan Securities LLC is the agent. Morgan Stanley Wealth Management will handle distribution.

The notes will price on March 28.

The Cusip number is 48125U3D2.

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