JPMorgan plans to price callable range accrual notes linked to 30-year, 10-year CMS rates

By E. Janene Geiss

Philadelphia, May 1 - JPMorgan Chase & Co. plans to price callable range accrual notes due May 14, 2018 linked to the 30-year and 10-year dollar constant maturity swap (CMS) rates, according to an FWP filing with the Securities and Exchange Commission.

The notes will bear interest at 7.05% until Feb. 8, 2010. Interest will be payable quarterly. After that date, the payout will be 7.5% times the proportion of days on which the spread of the 30-year CMS rate over the 10-year CMS rate is at least 0%.

The payout at maturity will be par plus accrued interest.

The notes are callable on any interest payment date beginning May 14, 2010. If the notes are called, the payout will be par plus any accrued interest.

The notes are expected to price May 9 and settle May 14.

J.P. Morgan Securities Inc. is the agent.

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