JPMorgan plans leveraged callable range accrual notes tied to S&P 500

By Susanna Moon

Chicago, Feb. 9 – JPMorgan Chase & Co. plans to price leveraged callable range accrual securities due Feb. 26, 2031 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first year, payable quarterly. After that, it will accrue at 8.2 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day the index closes at or above its 65% reference level, up to a maximum rate of 10%. Interest will be payable quarterly.

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 on any quarterly redemption date beginning Feb. 26, 2017.

J.P. Morgan Securities LLC is the agent. Morgan Stanley Wealth Management is the dealer.

The notes will settle on Feb. 26.

The Cusip number is 48125U2N1.

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