JPMorgan eyes contingent interest autocallable notes on S&P, Russell

By Sarah Lizee

Olympia, Wash., April 29 – JPMorgan Chase Financial Co. LLC plans to price autocallable contingent interest notes due Nov. 30, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its trigger level, 70% of its initial level, on the review date. The contingent coupon rate is expected to be between 7% and 9% per year.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date other than the first and final ones.

If the notes have not been called, the payout at maturity will be par unless either index closes below its trigger level during the life of the notes and either index finishes below its initial level, in which case investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price May 31.

The Cusip number is 48132CFJ7.

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