JPMorgan plans yield notes linked to 10-year U.S. dollar ICE swap rate

By Angela McDaniels

Tacoma, Wash., Feb. 1 – JPMorgan Chase & Co. plans to price yield notes due Feb. 9, 2017 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is expected to be at least 7.75% per year and will be set at pricing. Interest will be payable quarterly.

If the final 10-year U.S. dollar ICE swap rate is greater than or equal to the strike rate or is less than the strike rate by up to 15%, the payout at maturity will be par. Otherwise, investors will lose 1.17647% for every 1% that the final rate is less than the strike rate by more than 15%.

The strike rate is a rate to be determined by reference to certain intraday ICE swap rate levels on the pricing date.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Feb. 2.

The Cusip number is 48128GLG3.

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