JPMorgan plans contingent interest autocallables tied to S&P, Russell

By Angela McDaniels

Tacoma, Wash., Aug. 3 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Nov. 30, 2016 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its barrier level, 70% of its initial level, on the review date for that quarter. The contingent coupon rate is expected to be 5% to 7% per year and will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if each index 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 index closes below its barrier level on any day during the life of the notes and either index finishes below its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price Aug. 26 and settle Aug. 31.

The Cusip number is 48125UF49.

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