JPMorgan plans contingent interest autocallables tied to two indexes

By Marisa Wong

Morgantown, W.Va., July 26 – JPMorgan Chase Financial Co. LLC plans to price autocallable contingent interest notes due Aug. 1, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The notes will pay a contingent quarterly coupon at an annual rate of 6.75% to 7.25% if each index closes above its 70% interest barrier on the observation date for that quarter. The exact coupon will be set at pricing.

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

The payout at maturity will be par unless either index finishes below its 70% trigger level, in which case investors will be fully exposed to any losses in the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on July 27 settle on Aug. 1.

The Cusip number is 46646EQR6.

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