JPMorgan plans 10-year leveraged callable CMS curve-linked notes

By Susanna Moon

Chicago, March 23 – JPMorgan Chase & Co. plans to price leveraged callable CMS curve-linked notes due March 30, 2025 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to an FWP with the Securities and Exchange Commission.

Interest will be fixed at 6% for the first year. After that, it will accrue 2.2 times the spread of the 30-year CMS rate over the two-year CMS rate, up to a maximum rate of 8%. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses.

The notes are callable at par plus accrued interest on any quarterly redemption date beginning March 30, 2016.

J.P. Morgan Securities LLC is the agent.

The notes will price on March 25 and settle on March 30.

The Cusip number is 48125UDK5.

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