JPMorgan plans contingent interest autocallables tied to three stocks

By Susanna Moon

Chicago, Aug. 6 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Aug. 30, 2018 linked to the worst performing of the Financial Select Sector SPDR fund and the common stocks of Chevron Corp. and Southwest Airlines Co., according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate of 9% if each component closes at or above its coupon barrier, 70% of its initial share price, on the review date for that month.

The notes will be called at par plus the coupon if each stock closes at or above its initial share price on any quarterly review date.

The payout at maturity will be par plus the contingent coupon, if any, unless any stock finishes below its 65% trigger level, in which case investors will be fully exposed to any losses of the worst performing stock.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 26 and settle on Aug. 31.

The Cusip number is 48125UK35.

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