JPMorgan plans callable range accrual notes tied to CMS rates, Stoxx

By Susanna Moon

Chicago, June 5 – JPMorgan Chase & Co. plans to price callable range accrual notes due June 26, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the Euro Stoxx 50 index, according to an FWP with the Securities and Exchange Commission.

Interest will accrue at a rate 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 75% barrier level, up to a maximum rate of 10%. Interest will be payable quarterly and cannot be less than zero.

The rate will be 6% for the first five years, stepping up to 7% for years six through 10 and to 8% for years 11 through 15.

The payout at maturity will be par plus accrued interest.

The notes are callable at par plus accrued interest on any quarterly redemption date beginning June 26, 2020.

J.P. Morgan Securities LLC is the agent.

The notes will price on June 24 and settle on June 26.

The Cusip number is 48125UTC6.

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