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JPMorgan plans 10-year range accrual notes linked to 10-year CMS rate
By Jennifer Chiou
New York, Feb. 5 - JPMorgan Chase & Co. plans to price floating-rate range accrual notes due Feb. 21, 2024 linked to Libor and the 10-Year Constant Maturity Swap Rate, according to an FWP with the Securities and Exchange Commission.
Interest will be equal to the 10-year CMS rate for each day that Libor is 6% or less. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
The notes (Cusip: 48126NUD7) are expected to price on Feb. 18 and settle on Feb. 21.
J.P. Morgan Securities LLC is the agent.
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