JPMorgan to price contingent income callable notes linked to indexes

By Angela McDaniels

Tacoma, Wash., Dec. 9 – JPMorgan Chase & Co. plans to price contingent income callable notes due Dec. 14, 2017 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of at least 13.65% if each index closes at or above its downside threshold level, 75% of its initial level, on the observation date for that quarter. The exact contingent coupon rate will be set at pricing.

The notes are callable at par on any contingent payment date other than the final one.

The payout at maturity will be par unless any index finishes below its downside threshold level, in which case investors will be fully exposed to the decline of the least-performing index.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.

The notes will price Dec. 11.

The Cusip number is 48128GFU9.

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