JPMorgan plans variable-rate range accrual notes on Libor, S&P 500

By Susanna Moon

Chicago, July 11 - JPMorgan Chase & Co. plans to price callable variable-rate range accrual notes due July 31, 2027 linked to six-month Libor and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 7% for the first year. After that, interest will accrue at an annualized rate for each day that the S&P 500 closes at or above 80% of the initial level. The interest factor will be (a) 2 times (b) 4% annualized minus six-month Libor, up to a maximum rate of 8% from July 31, 2013 to July 31, 2017; (a) 2 times (b) 6% annualized minus six-month Libor, up to a maximum rate of 12% from July 31, 2017 to July 31, 2022; and (a) 2 times (b) 8% annualized minus six-month Libor, up to a maximum rate of 16% from July 31, 2022 to July 31, 2027.

Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

The notes are redeemable on any interest payment date beginning July 31, 2013.

J.P. Morgan Securities LLC is the agent.

The notes will price on July 27 and settle on July 31.

The Cusip number is 48125VJ35.

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