JPMorgan to price capped leveraged floaters linked to 10-year CMS rate

By Angela McDaniels

Tacoma, Wash., July 21 - JPMorgan Chase & Co. plans to price capped leveraged floating-rate notes due July 30, 2015 linked to the 10-year Constant Maturity Swap rate, according to an FWP filing with the Securities and Exchange Commission.

The interest rate will be 1% plus the greater of a) zero and b) 4.25 times the 10-year CMS rate minus 5%. Interest is payable annually and is capped at 13.75% per year.

The payout at maturity will be par.

The notes (Cusip: 48124AYW1) are expected to price July 23 and settle July 30.

J.P. Morgan Securities Inc. is the agent.

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