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JPMorgan plans contingent interest autocallables on S&P 500, Russell
By Susanna Moon
Chicago, Dec. 30 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Feb. 2, 2015 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
If each underlying component closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 6% to 8% for that quarter. The exact rate will be set at pricing.
If each underlying component closes at or above its initial level on any review date other than the final review date, the notes will be called at par plus the coupon.
A trigger event occurs if either underlying component closes below the 70% trigger level during the life of the notes.
If the notes have not been called and a trigger event has not occurred or each component finishes at or above its initial level, the payout at maturity will be par.
If either underlying component finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing component from its initial level.
J.P. Morgan Securities LLC is the agent.
The notes will price on Jan. 28 and settle on Jan. 31.
The Cusip number is 48126NS40.
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