JPMorgan eyes contingent interest autocallables on indexes

By Sarah Lizee

Olympia, Wash., Nov. 6 – JPMorgan Chase Financial Co. LLC plans to price autocallable contingent interest notes due May 13, 2021 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 5.5% per year if each index closes at or above its interest barrier, 70% of its initial level, on the review date for that quarter.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date review date other than the first and final dates.

If the notes have not been called, the payout at maturity will be par unless any index finishes below its trigger value, 70% of its initial level, in which case investors will lose 1% for every 1% that the least-performing index declines.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price on Nov. 8.

The Cusip number is 48132FH90.

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