JPMorgan plans autocallable contingent interest notes on indexes, ETF

By Tali Rackner

Norfolk, Va., Oct. 14 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Oct. 31, 2016 linked to the least performing of the Russell 2000 index, the S&P 500 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If each underlying component closes at or above the 65% barrier level on a monthly interest review date, the notes will pay a coupon at an annualized rate of at least 6.25% for that interest period. The exact coupon will be set at pricing.

If each component closes at or above its initial level on any quarterly autocall review date, the notes will be called at par of $1,000 plus the coupon.

If the notes are not called, the payout at maturity will be par plus the contingent interest payment unless the final value of any component is less than its initial value and any component finishes below the trigger value, 60% of its initial value, during the life of the notes, in which case the payout will be par plus the return of the least-performing component, with full exposure to losses.

J.P. Morgan Securities LLC is the agent.

The notes will price on Oct. 23 and settle on Oct. 28.

The Cusip number is 48128GAQ3.

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