By Angela McDaniels
Tacoma, Wash., Feb. 4 – JPMorgan Chase & Co. priced $25.1 million of 8% 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.
Interest is 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, 1.734%, was determined by the calculation agent and is lower than the reference rate on the pricing date, which was 1.757%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Yield notes
|
| Underlying rate: | 10-year U.S. dollar ICE swap rate
|
| Amount: | $25.1 million
|
| Maturity: | Feb. 9, 2017
|
| Coupon: | 8%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If final 10-year U.S. dollar ICE swap rate is greater than or equal to strike rate or is less than strike rate by up to 15%, par; otherwise, 1.17647% loss for every 1% that final rate is less than strike rate by more than 15%
|
| Strike rate: | 1.734%
|
| Pricing date: | Feb. 2
|
| Settlement date: | Feb. 5
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.75%
|
| Cusip: | 48128GLG3
|
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