New Issue: JPMorgan prices $500,000 fixed-to-floaters linked to CMS rates, S&P

By Angela McDaniels

Tacoma, Wash., June 29 – JPMorgan Chase & Co. priced $500,000 of callable fixed-to-floating-rate notes due June 30, 2030 linked to the S&P 500 index, the 10-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is 10% for the first year. After that, the coupon will be seven times the spread of the 10-year CMS rate over the two-year rate, subject to a minimum of zero and a maximum interest rate of 10% per year, multiplied by the proportion of days on which the index’s closing level is at least 70% of the initial index level. Interest is payable quarterly.

The payout at maturity will be par.

Beginning June 30, 2020, the notes will be callable at par on any interest payment date.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Callable fixed-to-floating-rate notes
Underlyings:	S&P 500 index, 10-year CMS rate, two-year CMS rate
Amount:	$500,000
Maturity:	June 30, 2030
Coupon:	10% for first year; after that, seven times spread of 10-year CMS rate over two-year rate, subject to minimum of zero and maximum interest rate of 10% per year, multiplied by proportion of days on which index closes at or above minimum index level; payable quarterly
Price:	Par
Payout at maturity:	Par
Call option:	At par on any interest payment date from June 30, 2020 onward
Minimum index level:	1,471.617, 70% of initial level
Pricing date:	June 25
Settlement date:	June 30
Agent:	J.P. Morgan Securities LLC
Fees:	4%
Cusip:	48125UTG7

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