JPMorgan plans 10-year range accrual floaters linked to CMS rates

By Susanna Moon

Chicago, Oct. 10 – JPMorgan Chase & Co. plans to price floating-rate range accrual notes due Oct. 31, 2024, according to an FWP with the Securities and Exchange Commission.

Interest will accrue Libor plus 150 basis points, up to a maximum rate of 7%, if the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least zero. Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

J.P. Morgan Securities LLC is the agent.

The notes will price on Oct. 28 and settle on Oct. 31.

The Cusip number is 48127DNX2.

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