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

By Angela McDaniels

Tacoma, Wash., Oct. 1 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Jan. 29, 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 at an annual rate of 7% to 9% if each index closes at or above its barrier level, 70% of its initial level, on the review date for that quarter. The exact rate 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 the final level of either index is less than its initial level and either index closes below its barrier level during the life of the notes, 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 Oct. 28 and settle Oct. 31.

The Cusip number is 48127DH68.

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