JPMorgan plans contingent interest autocallables tied to two indexes

By Susanna Moon

Chicago, Dec. 9 – JPMorgan Chase & Co. plans to price contingent interest autocallable notes due Jan. 3, 2017 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon of at an annual rate of 8% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.

The notes will be called at par if each index closes at or above its initial level on any review date other than the first and final review dates.

The payout at maturity will be par unless either index finishes below its 70% 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 Dec. 23 and settle on Dec. 31.

The Cusip number is 48128GEM8.

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