JPMorgan plans autocallable contingent interest notes on indexes, ETF

By Marisa Wong

Madison, Wis., May 22 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due June 1, 2020 linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If each underlying closes at or above the 75% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of at least 9.5% for that interest period. The exact coupon will be set at pricing.

If each underlying 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.

If the notes are not called and each underlying finishes at or above its trigger level, 75% of the initial level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will lose 1% for every 1% decline in the least-performing underlying from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 27 and settle on May 29.

The Cusip number is 48125UUW0.

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