JPMorgan plans callable contingent interest notes tied to two indexes

By Jennifer Chiou

New York, Jan. 2 - JPMorgan Chase & Co. plans to price callable contingent interest notes due Jan. 31, 2017 linked to the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

If each underlying component closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 6.5% to 7% for that quarter. The exact rate will be set at pricing.

If each underlying component closes at or above its initial level on any review date other than the final review date, the notes will be called at par plus the coupon.

A trigger event occurs if either underlying component closes below the 70% trigger level during the life of the notes.

If the notes have not been called and a trigger event has not occurred or each component finishes at or above its initial level, the payout at maturity will be par.

If either underlying component finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing component from its initial level.

The notes (Cusip: 48126NT80) are expected to price on Jan. 24 and settle on Jan. 31.

J.P. Morgan Securities LLC is the agent.

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