JPMorgan eyes autocallable contingent interest notes on S&P, Russell

By Sarah Lizee

Olympia, Wash., Feb. 6 – JPMorgan Chase Financial Co. LLC plans to price autocallable contingent interest notes due Feb. 18, 2020 linked to the least 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 will pay a contingent quarterly coupon at an annual rate of between 7.75% and 9.75% if each index closes at or above its 70% coupon barrier on the review date for that quarter.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any review date other than the final date.

If the final value of each index is greater than or equal to its initial value or neither index has ever closed below 70% of its initial level during the life of the notes, the payout at maturity will be par.

If the final value of either index is less than its initial value and either index has ever closed below 70% of its initial level during the life of the notes, the payout will be par plus the return of the lesser performing index with full exposure to losses.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 13.

The Cusip number is 48130WWD9.

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