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

By Tali Rackner

Norfolk, Va., Feb. 10 – JPMorgan Chase & Co. plans to price callable range accrual notes due Feb. 26, 2031 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 10% for the first year. After that, the interest rate will equal the interest factor multiplied by the proportion of days on which the index’s closing level is at least 70% of its initial level. The interest factor will be 9 times the spread of the 30-year CMS rate over the two-year CMS rate, subject to a minimum of zero and a maximum rate of 10% per year.

Interest is payable quarterly.

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’s decline.

Beginning Feb. 26, 2017, the notes will be callable at par on any quarterly redemption date.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 23 and settle on Feb. 26.

The Cusip number is 48125U2P6.

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