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

By Wendy Van Sickle

Columbus, Ohio, May 5 – JPMorgan Chase Financial Co. LLC plans to price leveraged callable range accrual securities due May 27, 2031 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.

The coupon will be fixed at 10% for the first year. After that, it will accrue at a rate equal to 12 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate for each day that the index closes at or above the 75% minimum index 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 the 50% barrier level, in which case investors will be fully exposed to any losses.

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 May 24 and settle on May 27.

The Cusip number is 46646ECG5.

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