JPMorgan plans callable range accrual notes linked to Euro CMS rates

By Toni Weeks

San Luis Obispo, Calif., March 27 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due April 10, 2028 linked to the 30-year Euro Constant Maturity Swap Rate and two-year Euro CMS rate, according to an FWP filing with the Securities and Exchange Commission.

Interest is payable quarterly and will be 8% for the first year. After that, the coupon will be (i) four times the spread of the 30-year Euro CMS rate over the two-year Euro CMS rate minus 25 basis points, subject to a maximum rate of 7.75% and a minimum rate of zero, multiplied by (ii) the proportion of days in the interest period on which the 30-year Euro CMS rate is at least 2%.

The payout at maturity will be par.

The notes are callable at par on any quarterly interest payment date after three years.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48126DS34) will price April 5 and settle April 10.

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