JPMorgan to price contingent interest autocalls on S&P, Russell

By Sarah Lizee

Olympia, Wash., March 7 – JPMorgan Chase Financial Co. LLC plans to price autocallable contingent interest notes due June 11, 2020 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 will be guaranteed by JPMorgan Chase & Co.

Each quarter, the notes will pay a contingent coupon at the rate of at least 9.1% per year if each index closes at or above its trigger value, 70% of its initial level, on the review date for that quarter. The exact contingent coupon rate will be set at pricing.

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

If the notes have not been called and the final value of each index is greater than or equal to its initial value or neither index ever closes below 70% of its initial level on any day during the life of the notes, the payout 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 value on any day during the life of the notes, the payout will be par plus the return of the lesser performing index, with full exposure to losses.

J.P. Morgan Securities LLC is the agent.

The notes will price March 8.

The Cusip number is 48130WF48.

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