By Marisa Wong
Morgantown, W.Va., Oct. 12 – Jefferies Group LLC priced $10 million of fixed-to-floating notes due Oct. 31, 2037 linked to the leveraged difference between the 10-year Constant Maturity Swap rate and the two-year Constant Maturity Swap rate, 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 be 10 times the spread of the 10-year CMS rate over the two-year CMS rate, subject to a minimum of zero and a maximum interest rate of 10% per year. Interest will be payable monthly.
The payout at maturity will be par.
Jefferies LLC is the agent.
| Issuer: | Jefferies Group LLC
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| Issue: | Fixed-to-floating notes
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| Amount: | $10 million
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| Maturity: | Oct. 31, 2037
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| Coupon: | 10% for first year; after that, 10 times the spread of the 10-year CMS rate over the two-year CMS rate, subject to a minimum of zero and a maximum interest rate of 10% per year; payable monthly
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| Price: | Variable
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| Payout at maturity: | Par
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| Pricing date: | Oct. 5
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| Settlement date: | Oct. 31
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| Agent: | Jefferies LLC
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| Fees: | 3.5%
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| Cusip: | 47233JBB3
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