JPMorgan plans contingent income autocallables linked to oil & gas ETF

By Angela McDaniels

Tacoma, Wash., July 11 – JPMorgan Chase Financial Co. LLC plans to price contingent income autocallable securities due July 20, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

If the ETF closes at or above the downside threshold level, 65% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of at least 11.3%. The exact rate will be set at pricing.

The notes will be called at par of $10 plus the contingent coupon if the ETF closes at or above the initial share price on any quarterly determination date other than the final determination date.

If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final share price is less than the initial share price.

J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.

The notes are expected to price July 15.

The Cusip number is 46646W227.

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