JPMorgan to price autocallable contingent interest notes on indexes

By Marisa Wong

Madison, Wis., June 25 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due July 5, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

If each underlying index closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of at least 6.6% for that quarter. The exact rate will be set at pricing.

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

A trigger event occurs if any underlying closes below its 50% trigger level on any day during the life of the notes.

If the notes have not been called and the final level of each underlying is greater than or equal to its initial level or a trigger event has not occurred, the payout at maturity will be par plus the coupon. If any underlying finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the least performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price on June 30 and settle on July 3.

The Cusip number is 48127DQR2.

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