JPMorgan plans autocallable contingent interest notes on S&P, Russell

By Marisa Wong

Morgantown, W.Va., Oct. 8 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Nov. 1, 2016 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 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 its coupon barrier level, 65% of its initial level, 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 its initial level on any quarterly review date other than the final date.

The payout at maturity will be par unless either index finishes below its 65% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Oct. 27 and settle on Oct. 30.

The Cusip number is 48125U6E7.

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