JPMorgan plans to price digital notes on 10-year ICE swap rate

By Sarah Lizee

Olympia, Wash., March 5 – JPMorgan Chase Financial Co. LLC plans to price 0% digital notes due March 16, 2021 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 swap rate finishes at or above its initial value or falls by up to 38.1%, the payout at maturity will be par plus the contingent digital return, 12%.

If the swap rate falls by more than 38.1%, investors will lose 1.61551% for every 1% that the rate declines beyond 38.1%.

J.P. Morgan Securities LLC is the agent.

The notes will price on March 11.

The Cusip number is 48130UTY1.

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