JPMorgan plans 20-year leveraged callable CMS curve-linked notes

By Toni Weeks

San Luis Obispo, Calif., July 7 – JPMorgan Chase & Co. plans to price leveraged callable CMS curve-linked notes due July 31, 2035 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 10% for the first two years. After that, it will accrue at the applicable leverage factor times the spread of the 30-year CMS rate over the two-year CMS rate, less 25 basis points. The applicable leverage factor is initially 400%, stepping up to 500% on July 31, 2021, to 600% on July 31, 2026 and to 7% on July 31, 2031. Interest will be payable quarterly and cannot be less than zero or more than 10%.

The payout at maturity will be par.

The notes are callable at par plus accrued interest on any quarterly redemption date after two years.

J.P. Morgan Securities LLC is the agent.

The notes will price July 28.

The Cusip number is 46625HME7.

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