JPMorgan plans callable range accrual notes tied to CMS rates, S&P 500

By Jennifer Chiou

New York, Feb. 4 – JPMorgan Chase & Co. plans to price callable range accrual notes due Feb. 27, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

Interest will accrue at the interest factor for each day that the spread of the 30-year CMS rate over the two-year CMS rate is at least zero and the index closes at or above the 70% barrier level. The interest factor is 8% in years one through five, 9% for years six through 10 and 10% for years 11 through 15. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par unless the index finishes below the 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 beginning on Aug. 27, 2015.

The notes (Cusip: 48127DQH4) will price on Feb. 24 and settle on Feb. 27.

J.P. Morgan Securities LLC is the agent.

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