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JPMorgan plans contingent interest autocallables tied to indexes, fund
By Susanna Moon
Chicago, May 22 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due June 1, 2018 linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.
If each component closes at or above the 70% coupon barrier level on a monthly review date, the notes will pay a coupon at an annual rate of 6% to 8% for that month. The exact coupon will be set at pricing.
If each component closes at or above its initial level on any quarterly review date, the notes will be called at par plus the coupon.
A trigger event occurs if any component closes below the 65% trigger level on any day during the life of the notes.
The payout at maturity will be par plus the contingent coupon unless any component finishes below its initial level or a trigger event, in which case investors will be fully exposed to any losses of the worst performing component.
J.P. Morgan Securities LLC is the agent.
The notes will price on May 29 and settle on June 3.
The Cusip number is 48125USR4.
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