JPMorgan plans contingent interest autocallables on Russell, EM ETF

By Angela McDaniels

Tacoma, Wash., Nov. 3 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Feb. 29, 2016 linked to the lesser performing of the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of 7% to 9% if each underlying component closes at or above its barrier level, 70% of its initial level, on the review date for that quarter. The exact rate will be set at pricing.

The notes will be automatically 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.

If the notes have not been called, the payout at maturity will be par unless either underlying component closes below its barrier level during the life of the notes and the final level of either underlying component is less than its initial level, in which case investors will be fully exposed to the decline of the lesser-performing underlying component.

J.P. Morgan Securities LLC is the agent.

The notes will price Nov. 24 and settle Nov. 28.

The Cusip number is 48127DS74.

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