JPMorgan plans callable range accrual notes on CMS rates, Russell

By Wendy Van Sickle

Columbus, Ohio, Dec. 3 – JPMorgan Chase & Co. plans to price callable range accrual notes due Dec. 31, 2025 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the Russell 2000 index, according to an FWP filed with the Securities and Exchange Commission.

Interest will be fixed at 10% for the first year. After that, it will accrue at seven times the spread of the 30-year CMS rate minus the two-year CMS rate on the determination date for each period provided that the index closes at or above 65% of its initial level for each day during the period. The maximum interest rate is 10%.

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 any losses.

The notes are callable at par plus accrued interest on any quarterly redemption date beginning Dec. 31, 2016.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price on Dec. 28 and settle on Dec. 31.

The Cusip number is 48125U2H4.

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