JPMorgan plans callable range accrual notes linked to CMS rates

By Jennifer Chiou

New York, Jan. 21 - JPMorgan Chase & Co. plans to price callable range accrual notes due Feb. 9, 2026 linked to the 30- and 10-year Constant Maturity Swap rates, according to an FWP with the Securities and Exchange Commission.

The notes will bear interest at 7% per year multiplied by the proportion of days on which the spread of the 30-year CMS rate over the 10-year CMS rate is greater than or equal to the 0% strike level. Interest will be payable quarterly.

The payout at maturity will be par.

Beginning Feb. 9, 2016, the notes will be callable at par on any interest payment date.

The notes (Cusip: 48125XCA2) are expected to price on Feb. 4 and settle on Feb. 9.

J.P. Morgan Securities LLC is the agent.

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