JPMorgan to price callable range accrual notes on CMS rates, S&P 500

By Toni Weeks

San Luis Obispo, Calif., Feb. 27 – JPMorgan Chase & Co. plans to price callable range accrual notes due March 29, 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 applicable rate for each day that the spread of the 30-year CMS rate over the two-year CMS rate is zero or positive and the index level is greater than or equal to 75% of the initial level, up to a maximum rate that is equal to the applicable rate for that interest period. The applicable rate is 8% for the first seven years and 10% after that. 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% barrier level, in which case investors will be fully exposed to the index decline.

The notes are callable at par plus accrued interest on any quarterly redemption date beginning Sept. 30, 2015.

J.P. Morgan Securities LLC is the agent.

The notes will price March 26 and settle March 31.

The Cusip number is 48125UCP5.

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