JPMorgan plans callable leveraged spread notes linked to CMS rates

By Susanna Moon

Chicago, July 19 - JPMorgan Chase & Co. plans to price callable leveraged notes due Aug. 18, 2025 based on the 10-year Constant Maturity Swap rate and the two-year CMS rate, according to a term sheet.

The coupon will be 9% for the first year. After that, the rate will be four times the spread of the 10-year CMS rate over the two-year CMS rate, up to a maximum of 9% per year. Interest will be payable quarterly and cannot be less than zero.

The notes will be callable at par on any interest payment date beginning on Aug. 18, 2015.

If the notes are not called, the payout at maturity will be par.

The notes are expected to price on Aug. 13 and settle on Aug. 18.

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

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