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

By Wendy Van Sickle

Columbus, Ohio, July 21 – JPMorgan Chase Financial Co. LLC plans to price 0% digital notes due Aug. 9, 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 at least negative 40% of its initial rate, the payout at maturity will be par plus 8.1%. Otherwise, investors will lose 1.6667% for every 1% that the final reference rate falls beyond 40%.

J.P. Morgan Securities LLC is the agent.

The notes will price July 22.

The Cusip number is 46646EQG0.

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