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

By Marisa Wong

Morgantown, W.Va., Oct. 5 – JPMorgan Chase Financial Co. LLC plans to price 0% digital notes due Oct. 26, 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 rate finishes at or above the initial rate or falls by up to 35%, the payout at maturity will be par plus the contingent digital return of 8.2%.

Otherwise, investors will lose 1.53846% for each 1% decline beyond 35%.

J.P. Morgan Securities LLC is the agent.

The notes will price on Oct. 6.

The Cusip number is 46646ES45.

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