JPMorgan plans 7%-9% yield notes tied to 10-year U.S. dollar ICE swap

By Susanna Moon

Chicago, Feb. 11 – JPMorgan Chase & Co. plans to price 7% to 9% yield notes due Feb. 28, 2017 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable quarterly, with the exact rate to be set at pricing.

The payout at maturity will be par unless the 10-year U.S. dollar ICE swap rate falls below the strike rate by more than the 20% buffer, in which case investors will lose 1.25% for every 1% decline beyond the buffer.

The strike rate will be set at pricing.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 17.

The Cusip number is 48128GMZ0.

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