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Published on 10/28/2011 in the Prospect News Structured Products Daily.

JPMorgan plans callable range accrual CDs on six-month Libor, S&P 500

By Toni Weeks

San Diego, Oct. 28 - JPMorgan Chase Bank, NA plans to price callable variable-rate range accrual CDs due Nov. 10, 2026 linked to six-month Libor and the S&P 500 index, according to a term sheet.

The CDs pay a coupon of 7% for the first year. Beginning Nov. 10, 2012, the interest rate will be the interest factor multiplied by the proportion of days on which the index closes at or above 950. The interest factor is (a) 1.1 times (b) 6.25% minus six-month Libor, subject to a minimum interest factor of 0.5% and a maximum interest factor of 6.875%. Interest is payable quarterly.

The CDs are callable at par after one year.

The payout at maturity will be par.

The CDs (Cusip: 48123YW93) are expected to settle Nov. 10.

J.P. Morgan Securities LLC will be the agent.


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