JPMorgan plans callable contingent interest notes tied to two indexes

By Toni Weeks

San Luis Obispo, Calif., June 2 - JPMorgan Chase & Co. plans to price callable contingent interest notes due June 27, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If each index closes at or above its 70% interest barrier level on any semiannual review date, the notes will pay a coupon at an annual rate of 5.5% to 6% for that period. The exact contingent coupon will be set at pricing.

If each index finishes at or above the 70% trigger level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be fully exposed to the decline of the lesser-performing index.

The notes are callable at par plus the contingent coupon on any semiannual interest payment date other than the final date.

J.P. Morgan Securities LLC is the agent.

The notes will price June 20 and settle June 27.

The Cusip number is 48127DLE6.

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