New York, July 31 – JPMorgan Chase & Co. priced $7 million of leveraged callable CMS curve-linked notes due July 31, 2035, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is 10% for the first year. After that, it will be the leverage factor multiplied by the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate minus 25 basis points. The leverage factor is four starting from July 31, 2016, increasing to five on July 31, 2021, six on July 31, 2026 and seven on July 31, 2031.
The coupon has a floor of zero and a maximum of 10%. Interest is payable quarterly.
The payout at maturity will be par.
Beginning July 31, 2017, the notes will be callable at par on any coupon payment date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Leveraged callable CMS curve-linked notes
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| Underlying rates: 30-year and two-year Constant Maturity Swap rates
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| Amount: | $7 million
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| Maturity: | July 31, 2035
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| Coupon: | 10% for first year; after that leverage factor multiplied by spread of 30-year CMS rate over two-year CMS rate less 25 bps; leverage factor is four starting from July 31, 2016, increasing to five on July 31, 2021, six on July 31, 2026 and seven on July 31, 2031; subject to minimum rate of zero and maximum rate of 10% per year; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par
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| Call option: | At par on any coupon payment date from July 31, 2017onward
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| Pricing date: | July 28
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| Settlement date: | July 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.5%
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| Cusip: | 46625HME7
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