JPMorgan plans contingent interest autocallables linked to index, fund

By Susanna Moon

Chicago, Jan. 23 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Feb. 1, 2018 linked to the worse performing of the S&P 500 index and the Vanguard Total Stock Market exchange-traded fund, according to an FWP with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of at least 7.25% if each underlying component closes at or above the 80% coupon barrier level on a review date for that quarter.

The notes will be called at par if either component finishes at or above its initial level on any any review date other than the first, second, third and final review date.

The payout at maturity will be par unless either underlying component finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worst performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price on Jan. 27 and settle on Jan. 30.

The Cusip number is 48127D6Y9.

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