JPMorgan to price fixed-to-floating notes linked to CMS rates, Russell

By Jennifer Chiou

New York, May 7 - JPMorgan Chase & Co. plans to price fixed-to-floating notes due May 30, 2034 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

The interest rate is expected to be 10% for the first year. Beginning on May 30, 2015, it will accrue at four times the spread of the 30-year CMS rate over the two-year CMS rate when the index level is greater than or equal to the barrier level, 70% of the initial level, subject to a minimum rate of zero and a maximum rate that is expected to be 10% per year. Interest will be payable monthly.

The payout at maturity will be par.

The notes (Cusip: 48126N6H5) are expected to price on May 27 and settle on May 30.

J.P. Morgan Securities LLC is the agent.

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