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JPMorgan plans callable range accrual securities on S&P, swap rates
By Wendy Van Sickle
Columbus, Ohio, June 7 – JPMorgan Chase Financial Co. LLC plans to price leveraged callable range accrual securities due June 30, 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.
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 8% for years one to five, 8.5% for years six to 10 and 9% for years 11 to maturity.
The payout at maturity will be par plus any accrued interest unless the index finishes below the 50% 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 June 27 and settle on June 30.
The Cusip number is 46646EGE6.
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