Understanding privacy policies is crucial for users as it empowers them to learn about the information that matters to them. Sentences written in a privacy policy document explain privacy practices, and the constituent text spans convey further specific information about that practice. We refer to predicting the privacy practice explained in a sentence as intent classification and identifying the text spans sharing specific information as slot filling. In this work, we propose PolicyIE, a corpus consisting of 5,250 intent and 11,788 slot annotations spanning 31 privacy policies of websites and mobile applications. PolicyIE corpus is a challenging benchmark with limited labeled examples reflecting the cost of collecting large-scale annotations. We present two alternative neural approaches as baselines: (1) formulating intent classification and slot filling as a joint sequence tagging and (2) modeling them as a sequence-to-sequence (Seq2Seq) learning task. Experiment results show that both approaches perform comparably in intent classification, while the Seq2Seq method outperforms the sequence tagging approach in slot filling by a large margin. Error analysis reveals the deficiency of the baseline approaches, suggesting room for improvement in future works. We hope the PolicyIE corpus will stimulate future research in this domain.