JPMorgan plans contingent interest autocallables linked to index, fund

By Toni Weeks

San Luis Obispo, Calif., June 18 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due June 29, 2017 linked to the lesser performing of the Russell 2000 index and Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If each component closes at or above its 62% interest barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of at least 7% for that period. The exact contingent coupon will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if each 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 contingent interest payment unless either component dips below its 62% trigger level on the June 26, 2017 final review date, in which case investors will lose 1%for every 1% that the lesser-performing component finishes below its initial value.

J.P. Morgan Securities LLC is the agent.

The notes will price June 24 and settle June 27.

The Cusip number is 48127DND6.

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