JPMorgan plans callable fixed-to-floaters tied to CMS rates, S&P 500

By Marisa Wong

Madison, Wis., Nov. 5 – JPMorgan Chase & Co. plans to price callable fixed-to-floating notes due Nov. 21, 2029 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

The interest rate is 9% for the first year. After that it will accrue at four times the spread of the 30-year CMS rate over the two-year CMS rate, subject to a minimum rate of zero and a maximum rate of 9% per year, for each day that the index closes at or above 75% of its initial level. Interest will be payable quarterly.

The payout at maturity will be par.

The notes are callable at par plus accrued interest on any quarterly redemption date beginning Nov. 21, 2019.

J.P. Morgan Securities LLC is the agent.

The notes will price Nov. 18 and settle Nov. 21.

The Cusip number is 48127DPA0.

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