JPMorgan plans digital notes tied to 10-year U.S. dollar ICE swap rate

By Angela McDaniels

Tacoma, Wash., Aug. 9 – JPMorgan Chase Financial Co. LLC plans to price 0% digital notes due Aug. 31, 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 initial reference rate or is less than the initial reference rate by up to 40%, the payout at maturity will be par plus 8%. Otherwise, investors will lose 1.6667% for every 1% that the reference rate’s decline exceeds 40%.

J.P. Morgan Securities LLC is the agent.

The notes will price Aug. 12.

The Cusip number is 46646EUJ9.

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