JPMorgan to price callable contingent interest notes linked to indexes

By Angela McDaniels

Tacoma, Wash., Feb. 2 – JPMorgan Chase & Co. plans to price callable contingent interest notes due March 3, 2017 linked to the lesser performing of 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 an annual rate of 9% to 11% if each index closes at or above its interest barrier level, 65% of its initial level, on the review date for that quarter. The exact contingent interest rate 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 interest payment date.

If the notes have not been called, the payout at maturity will be par unless either index finishes below its initial level and either index closes below its trigger value, 65% of its initial level, on any day during the life of the notes, in which case investors will be fully exposed to the decline of the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price Feb. 24.

The Cusip number is 48128GLS7.

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