JPMorgan plans contingent interest autocallables tied to indexes, ETF

By Wendy Van Sickle

Columbus, Ohio, March 24 – JPMorgan Chase Financial Co. LLC plans to price autocallable contingent interest notes due July 5, 2018 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

Each quarter, the notes will pay a contingent coupon at an annual rate of 10% if each asset closes at or above its interest barrier, 60% of its initial level, on the review date for that quarter.

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

If the notes have not been called, the payout at maturity will be par unless any asset finishes below its initial level and any asset closes below its trigger value, 60% of its initial level any day during the life of the notes, in which case investors will lose 1% for every 1% that the least performing asset declines from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price March 29.

The Cusip number is 46646QNY7.

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