JPMorgan plans leveraged CMS curve, S&P 500-linked notes due 2028

By Angela McDaniels

Tacoma, Wash., April 4 - JPMorgan Chase & Co. plans to price fixed-to-floating rate leveraged CMS curve and S&P 500 index-linked notes due April 30, 2028, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 7% for the first two years. After that, it will be four times the spread of the 30-year Constant Maturity Swap rate over the five-year CMS rate, subject to a minimum of zero and a maximum annualized rate of 7%, multiplied by the proportion of days on which the index closes at or above the index reference level, which will be 75% of the initial index level. Interest will be payable quarterly.

The payout at maturity will be par.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.

The notes will price April 25 and settle April 30.

The Cusip number is 48126DS59.

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