JPMorgan plans range accrual notes tied to 10-year, two-year CMS rates

By Marisa Wong

Madison, Wis., June 9 – JPMorgan Chase & Co. plans to price range accrual floating-rate notes due June 23, 2026 linked to the 10-year Constant Maturity Swap rate and the two-year CMS rate, according to an FWP filing with the Securities and Exchange Commission.

Interest will accrue at (i) the 10-year CMS rate multiplied by (ii) the proportion of days that the 10-year CMS rate minus the two-year CMS rate is greater than or equal to zero.

Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

The notes are expected to price June 18 and settle June 23.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48126N6W2.

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