JPMorgan plans callable range accrual notes on ICE swap rates, S&P 500

By Susanna Moon

Chicago, Oct. 13 – JPMorgan Chase Financial Co. LLC plans to price of leveraged callable range accrual securities due Nov. 3, 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.

Interest will be fixed at 9.25% for the first two years. 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 index closes at or above the 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 at par plus accrued interest on any quarterly redemption date after one year.

J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management handling distribution.

The notes will price on Oct. 31 and settle on Nov. 3.

The Cusip number is 46646EU75.

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