JPMorgan to price callable contingent interest notes on S&P, Russell

By Wendy Van Sickle

Columbus, Ohio, May 13 – JPMorgan Chase & Co. plans to price callable contingent interest notes due Aug. 31, 2017 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.

Each quarter, the notes pay a contingent coupon if each index closes at or above its trigger value, 70% of its initial level, on the review date for that quarter. The contingent coupon rate is expected to be 6% to 8% per year and will be set at pricing.

The notes are callable at par plus the contingent coupon on any interest payment date other than the first and final interest payment dates.

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

J.P. Morgan Securities LLC is the agent.

The notes will price May 25.

The Cusip number is 48128GXD7.

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