JPMorgan plans contingent interest notes on JPMorgan ETF Efficiente 5

By Toni Weeks

San Luis Obispo, Calif., May 2 - JPMorgan Chase & Co. plans to price contingent interest notes due May 29, 2020 linked to the JPMorgan ETF Efficiente 5 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a coupon of at least 1% per year if the closing index level on any annual interest review date is greater than or equal to the initial index level. Otherwise, no interest will be paid for that interest period. Interest is payable annually.

The payout at maturity will be par plus at least 100% of the index return, subject to a minimum payout of par.

The index tracks the excess return of a portfolio of 12 exchange-traded funds, with dividends reinvested, and the JPMorgan Cash Index USD 3 Month above the return of the cash index less a fee of 0.5% per year that accrues daily.

The 12 ETFs are the SPDR S&P 500 ETF trust, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund, the iShares Barclays 20+ Year Treasury Bond fund, the iShares iBOXX Investment Grade Corporate Bond fund, the iShares iBOXX High Yield Corporate Bond fund, the iShares MSCI Emerging Markets index fund, the iShares Emerging Markets Bond fund, the iShares Dow Jones Real Estate index fund, the iShares S&P GSCI Commodity-Indexed trust, the SPDR Gold trust and the iShares Barclays TIPS Bond.

The exact terms will be set at pricing.

The notes (Cusip: 48126D3W7) are expected to price May 28 and settle May 31.

J.P. Morgan Securities LLC is the agent.

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