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JPMorgan to price callable range accrual notes on CMS rates, S&P 500
By Toni Weeks
San Luis Obispo, Calif., Feb. 20 – JPMorgan Chase & Co. plans to price callable range accrual notes due Feb. 27, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to an FWP with the Securities and Exchange Commission.
Interest will be fixed at 10% for the first year. After that, it will accrue at 7.25 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the 50% barrier level, up to a maximum rate of 10%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses.
The notes are callable at par plus accrued interest on any quarterly redemption date beginning Feb. 27, 2016.
J.P. Morgan Securities LLC is the agent.
The notes will price Feb. 25 and settle Feb. 27.
The Cusip number is 48125UCJ9.
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