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

By Jennifer Chiou

New York, Nov. 20 – JPMorgan Chase & Co. plans to price callable fixed-to-floating notes due Dec. 24, 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 the multiplier 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 multiplier will be four from June 24, 2015, stepping up to five on Dec. 24, 2021 and to six on Dec. 24, 2026.

The payout at maturity will be par.

The notes are callable at par plus accrued interest on any quarterly redemption date beginning on Dec. 4, 2019.

The notes (Cusip: 48127DPH5) will price on Dec. 19 and settle on Dec. 24.

J.P. Morgan Securities LLC is the agent.

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