JPMorgan plans contingent interest autocallables on S&P 500, Brazil ETF

By Marisa Wong

Madison, Wis., April 6 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due July 29, 2016 linked to the lesser performing of the S&P 500 index and the iShares MSCI Brazil Capped exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a coupon at an annualized rate of 9.5% to 11.5% if each underlying component closes at or above its barrier level, 60% of its initial level, on the review date for that quarter. The exact coupon rate will be set a pricing.

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

If the notes have not been called, the payout at maturity will be par plus the contingent coupon unless either underlying component finishes below its initial level and either underlying component closes below its 60% trigger level during the life of the notes, in which case investors will lose 1% for every 1% decline in the lesser-performing underlying component from its initial level.

J.P. Morgan Securities LLC is the agent.

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

The Cusip number is 48125ULM2.

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