JPMorgan plans callable range accrual notes tied to indexes, swap rates

By Susanna Moon

Chicago, Sept. 8 – JPMorgan Chase Financial Co. LLC plans to price callable range accrual securities due Sept. 30, 2031 linked to 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

Interest 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 ICE swap rate over the two-year ICE swap rate for each day that the indexes close at or above the 60% threshold level, up to a maximum rate of 10%.

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

The payout at maturity will be par plus accrued interest unless the S&P 500 index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses in the index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Sept. 27 and settle on Sept. 30.

The Cusip number is 46646EYM8.

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