JPMorgan plans leveraged CMS curve, Russell 2000-tied notes due 2028

By Susanna Moon

Chicago, March 18 - JPMorgan Chase & Co. plans to price fixed-to-floating rate leveraged CMS curve and Russell 2000 index-linked notes due March 28, 2028, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 7.5% for the first year. After that, it will be four times the spread of the 30-year Constant Maturity Swap rate over the five-year CMS rate, up to a maximum annualized rate of 7.5%, for each day that the index closes at or above the 75% barrier level. Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

J.P. Morgan Securities LLC is the agent, and Morgan Stanley Smith Barney LLC is the dealer.

The notes will settle on March 28.

The Cusip is 48126DR68.

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