JPMorgan to price digital contingent coupon notes tied to stock basket

By Marisa Wong

Madison, Wis., Oct. 1 - JPMorgan Chase & Co. plans to price digital contingent coupon notes due Oct 27, 2017 linked to an equally weighted basket of stocks, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the common stocks of Altria Group, Inc., Amazon.com, Inc., Barrick Gold Corp., Baxter International Inc., General Mills, Inc., Intel Corp., Time Warner Cable Inc., Verizon Communications Inc., Wells Fargo & Co., and Whole Foods Market, Inc.

Interest is payable in October of each year and will equal the sum of the weighted performances of the basket stocks, subject to a floor of at least 1% that will be set at pricing.

If a stock's return is positive, its performance will be a fixed percentage equal to at least 8%, with the exact percentage to be set at pricing. Otherwise, its performance will be the greater of its return and negative 35%.

The payout at maturity will be par.

The notes (Cusip: 48124AM79) are expected to price Oct. 26 and settle Oct. 29.

J.P. Morgan Securities LLC is the agent.

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