JPMorgan plans callable contingent interest notes tied to indexes, ETF

By Angela McDaniels

Tacoma, Wash., June 10 – JPMorgan Chase & Co. plans to price callable contingent interest notes due June 19, 2017 linked to the least performing of the Euro Stoxx 50 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.

Each quarter, the notes will pay a contingent coupon if each underlying component closes at or above its interest barrier, 70% of its initial level, on the review date for that quarter. The contingent interest rate is expected to be at least 9.35% per year and will be set at pricing.

The notes will be callable at par plus the contingent coupon on any interest payment date other than the final one.

If the notes have not been called, the payout at maturity will be par plus the final coupon unless any underlying component finishes below its trigger value, 55% of its initial level, in which case investors will be fully exposed to the decline of the least-performing underlying component.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price June 11 and settle June 16.

The Cusip number is 48125UXD9.

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