JPMorgan to price contingent interest notes linked to ETF Efficiente 5

By Marisa Wong

Madison, Wis., March 1 - JPMorgan Chase & Co. plans to price contingent interest notes due March 29, 2019 linked to the JPMorgan ETF Efficiente 5 index, according to an FWP filing with the Securities and Exchange Commission.

If the index closes at or above the initial index level on an annual interest review date, investors will receive a contingent interest payment. Otherwise, no interest will be paid for that interest period. Interest is payable annually, and the rate is expected to be at least 0.75%.

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

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 fund.

The notes are expected to price March 25 and settle March 28.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48126DZF9.

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