New Issue: JPMorgan prices $5 million notes linked to CMS rates, Russell 2000

By Toni Weeks

San Luis Obispo, Calif., May 29 - JPMorgan Chase & Co. priced $5 million of fixed-to-floating notes due May 30, 2034 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first year. After that, it will accrue at 4 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 70% minimum index level, up to a maximum coupon of 10%. Interest will be payable monthly and cannot be less than zero.

The payout at maturity will be par.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Fixed-to-floating notes
Underlyings:	30-year CMS rate, two-year CMS rate, Russell 2000 index
Amount:	$5 million
Maturity:	May 30, 2034
Coupon:	10% initially; beginning May 30, 2015, 4 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above minimum index level, up to a cap of 10%; payable monthly
Price:	Variable
Payout at maturity:	Par
Minimum index level:	799.5407, 70% of initial level
Pricing date:	May 27
Settlement date:	May 30
Agent:	J.P. Morgan Securities LLC
Fees:	3.5%
Cusip:	48126N6H5

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