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

By Susanna Moon

Chicago, Aug. 6 – JPMorgan Chase & Co. plans to price leveraged callable CMS curve-linked notes due Aug. 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 year. After that, it will accrue at a leverage factor times the spread of the 30-year CMS rate over the two-year CMS rate, less 25 basis points, up to a maximum rate of 10%. The leverage factor will be 4 times initially, stepping up to 8 times on Aug. 31, 2025. Interest will be payable quarterly and cannot be less than zero.

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 on Aug. 26.

The Cusip number is 48125UUL4.

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