JPMorgan plans contingent interest autocallables linked to index, fund

By Susanna Moon

Chicago, Sept. 2 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Dec. 31, 2015 linked to the Russell 2000 index and the iShares MSCI Brazil Capped exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If each underlying component closes at or above the 70% coupon barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 7.75% to 9.75% for that quarter.

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

The payout at maturity will be par plus the final coupon unless the either component falls and either component ever closes below its trigger level, 70% of its initial level, during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing underlying component.

J.P. Morgan Securities LLC is the agent.

The notes will price on Sept. 25 and settle on Sept. 30.

The Cusip number is 48127DYV4.

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