JPMorgan plans contingent interest autocallables on S&P 500, Russell

By Susanna Moon

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

The notes will pay a contingent quarterly coupon at an annual rate of 8.5% to 10.5% if each index closes at or above the barrier level, 70% of the initial share price, on the review date for that quarter.

The notes will be called at par plus the contingent coupon if each index closes at or above the initial level on any review date other than the final review date.

The payout at maturity will be par plus the final contingent interest payment unless either index finishes below the 70% trigger level, in which case investors will receive par plus the return with full exposure to any losses of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Sept. 25 and settle on Sept. 30.

The Cusip number is 48125UV25.

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