JPMorgan plans contingent interest callable notes tied to indexes, fund

By Susanna Moon

Chicago, Aug. 14 – JPMorgan Chase & Co. plans to price callable contingent interest notes due Aug. 24, 2017 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 9.75% if each component closes at or above its coupon barrier, 70% of its initial level, on the review date for that quarter.

The notes may be redeemed at par on any of interest payment date other than the final date.

The payout at maturity will be par plus the contingent coupon unless any component finishes below its 55% 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 Aug. 21 and settle on Aug. 26.

The Cusip number is 48125UM41.

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