JPMorgan plans digital notes linked to 10-year dollar ICE swap rate

By Angela McDaniels

Tacoma, Wash., June 13 – JPMorgan Chase Financial Co. LLC plans to price 0% digital notes due July 17, 2017 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

If the final reference rate is greater than or equal to the strike rate, 1.515%, or is less than the strike rate by up to 25%, the payout at maturity will be par plus 11.25%. Otherwise, investors will lose 1.3333% for every 1% that the final reference rate is less than the strike rate by more than 25%.

J.P. Morgan Securities LLC is the agent.

The notes will price June 14.

The Cusip number is 46646EHD7.

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