JPMorgan plans contingent interest autocallables on biotech, oil ETFs

By Marisa Wong

Morgantown, W.Va., Feb. 27 – JPMorgan Chase Financial Co. LLC plans to price autocallable contingent interest notes due March 5, 2020 linked to the lesser performing of the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

Each month, the notes will pay a contingent coupon if each underlying fund closes at or above its interest barrier, 55% of its initial level, on the review date for that month. The contingent coupon rate is expected to be at least 10% per year and will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if each underlying fund closes at or above its initial level on any quarterly review date beginning Sept. 1, 2017.

If the notes have not been called, the payout at maturity will be par unless either fund finishes below its 55% trigger value, in which case investors will lose 1% for every 1% that the worse performer declines from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price on March 1.

The Cusip number is 46646QLW3.

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