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JPMorgan plans autocallable contingent interest notes on S&P, Russell
By Toni Weeks
San Diego, Sept. 4 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Sept. 10, 2014 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
If each index closes at or above its trigger level, 60% of its initial level, on a quarterly review date, the notes will pay a 2.5% coupon that quarter, which is equivalent to 10% per year. If either index closes below the trigger level on the review date, no coupon will be paid that quarter.
If each index closes at or above its initial level on any of the review dates other than the final review date, the notes will be automatically called at par plus the contingent coupon.
If the notes have not been called and (a) the level of each index is greater than or equal to its trigger level at all times on each day during the life of the notes or (b) the final level of each index is greater than or equal to its initial level, the payout at maturity will be par plus the contingent coupon.
If the notes have not been called and (a) the level of either index is less than its trigger level at any time on any day during the life of the notes and (b) the final level of either index is less than its initial level, investors will lose 1% for every 1% that the final level of the lesser-performing index is less than its initial level, subject to any contingent coupon payable at maturity.
The initial index level is the index closing level on Aug. 30.
The notes (Cusip: 48125V5Q9) are expected to price Sept. 5 and settle Sept. 10.
J.P. Morgan Securities LLC is the agent.
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