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

By Angela McDaniels

Tacoma, Wash., April 30 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Aug. 31, 2016 linked to 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 if each underlying component closes at or above its barrier level, 65% of its initial level, on the review date for that quarter. The contingent coupon rate is expected to be 9.25% to 11.25% per year and will be set at 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 barrier 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 are expected to price May 26 and settle May 29.

The Cusip number is 48125UQN5.

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