JPMorgan plans autocallable contingent interest notes tied to indexes

By Toni Weeks

San Luis Obispo, Calif., Feb. 7 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Aug. 15, 2016 linked to the S&P 500 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

If each underlying component closes at or above the 65% barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of at least 7% for that quarter. The exact rate will be set at pricing.

If each underlying component closes at or above its initial level on any review date other than the first, second and final review dates, the notes will be called at par plus the coupon.

The payout at maturity will be par unless either underlying component falls and either underlying component ever closes below the 65% trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the worst-performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 10 and settle on Feb. 13.

The Cusip number is 48126N3T2.

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