You can try using the html tables for new lines as below,
import java.awt.Dimension;
import javax.swing.JFrame;
import javax.swing.JLabel;
/**
* @author JayaPrasad
*
*/
public class SwingHtml {
public static void main(String[] args) {
JFrame frame = new JFrame();
JLabel label = new JLabel(
"<html>Case Item CaseNum<table><tr><font color=blue>Party1</font></tr><tr><font color=red>Party2</font></tr></table></html>");
frame.add(label);
frame.setSize(new Dimension(250, 130));
frame.setVisible(true);
frame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
}
}
Output: