Add to balance / Manage account | User: | Log out |
Prospect News home > News index > List of issuers 3 > Headlines for 30-year Constant Maturity Swap rate > News item |
JPMorgan to price callable range accrual notes on CMS rates, S&P 500
By Toni Weeks
San Luis Obispo, Calif., March 31 – JPMorgan Chase & Co. plans to price callable range accrual notes due April 22, 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 9 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 60% 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 April 22, 2016.
J.P. Morgan Securities LLC is the agent.
The notes will price April 17 and settle April 22.
The Cusip number is 48125UDM1.
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.