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

By Marisa Wong

Morgantown, W.Va., Feb. 10 – JPMorgan Chase Financial Co. LLC plans to price 0% digital notes due March 2, 2018 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 40%, the payout at maturity will be par plus the contingent digital return of 9%.

Otherwise, investors will lose 1.66667% for each 1% decline beyond 40%.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 13.

The Cusip number is 46646QD44.

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