JPMorgan plans callable contingent interest notes on two indexes

By Jennifer Chiou

New York, March 2 – JPMorgan Chase & Co. plans to price callable contingent interest notes due April 4, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

If each underlying index closes at or above the 60% interest barrier on a quarterly review date, the notes will pay a coupon at an annualized rate of at least 7% for that quarter. The exact coupon will be set at pricing.

The issuer may call the notes on any interest payment date, except for the final date. If the notes are called, the payout will be par plus any accrued interest.

A trigger event occurs if either underlying index finishes below the 60% trigger level.

If the notes have not been called and a trigger event has not occurred, the payout at maturity will be par plus the contingent interest payment. If a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing underlying index from its initial level.

The notes (Cusip: 48125UHM7) will price on March 26 and settle on March 31.

J.P. Morgan Securities LLC is the agent.

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