JPMorgan plans autocallable contingent interest notes tied to indexes

By Marisa Wong

Madison, Wis., May 4 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Aug. 31, 2016 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

If each underlying index closes at or above the 65% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 7% to 9% for that interest period. The exact coupon will be set at pricing.

If each index 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 index closes below the 65% trigger level on any day during the life of the notes.

If the notes are not called and each index finishes at or above its initial level or a trigger event has not occurred, the payout at maturity will be par plus the contingent coupon.

If either underlying index finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing underlying index from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 26 and settle on May 29.

The Cusip number is 48125UQL9.

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