JPMorgan plans leveraged range accrual notes linked to S&P, swap rates

By Angela McDaniels

Tacoma, Wash., Sept. 20 – JPMorgan Chase Financial Co. LLC plans to price leveraged callable range accrual securities due Sept. 30, 2031 linked to the 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 interest rate will be fixed at 9.25% for the first two years. After that, the interest rate will be equal to the interest factor multiplied by the proportion of days on which the index closes at or above the index reference level, 75% of the initial index level. The interest factor is 12 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate, subject to a minimum of zero and a maximum rate of 10% per year. Interest will be payable quarterly.

If the final index level is greater than or equal to the trigger level, 50% of the initial index level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial level.

Beginning Sept. 30, 2017, the notes will be callable at par on any quarterly redemption date.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.

The notes will price Sept. 27.

The Cusip number is 46646EC75.

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