JPMorgan plans autocallable contingent interest notes on two indexes

By Jennifer Chiou

New York, Oct. 21 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Oct. 26, 2017 linked to the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

If each underlying index closes at or above the 60% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of at least 7.1% for that interest period. The exact contingent coupon will be set at pricing.

If each index closes at or above its initial level on any review date other than the first three and final review dates, the notes will be called at par plus the coupon.

A trigger event occurs if either underlying index finishes below the 70% trigger level.

If the notes have not been called and a trigger event has not occurred, the payout at maturity will be par plus the contingent coupon.

If a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing underlying index from its initial level.

The notes (Cusip: 48127DN53) will price on Oct. 22 and settle on Oct. 27.

J.P. Morgan Securities LLC is the agent.

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