JPMorgan plans contingent interest autocallables linked to ICE swap rate

By Angela McDaniels

Tacoma, Wash., July 5 – JPMorgan Chase Financial Co. LLC plans to price autocallable contingent interest notes due July 20, 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 will be guaranteed by JPMorgan Chase & Co.

Each quarter, the notes will pay a contingent coupon if the reference rate on the review date for that quarter is greater than or equal to the trigger level, 65% of the initial reference rate. The contingent coupon rate is expected to be between 7.5% and 9.5% per year and will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if the reference rate on any quarterly review date other than the final review date is greater than or equal to the initial reference rate.

If the notes have not been called and the final reference rate is greater than or equal to the trigger level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will lose 1% for every 1% that the final reference rate is less than the initial reference rate.

J.P. Morgan Securities LLC is the agent.

The notes will price July 15.

The Cusip number is 46646ENG3.

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