JPMorgan plans contingent interest autocallables tied to Russell, S&P

By Angela McDaniels

Tacoma, Wash., Nov. 4 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due March 1, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 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 6% to 8% if each index closes at or above its barrier level, 70% of its initial level, on the review date for that quarter. The exact contingent interest rate will be set at pricing.

Beginning May 24, 2016, 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 either index closes below its barrier level on any day during the life of the notes and either index finishes below its initial level, 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 Nov. 24 and settle Nov. 30.

The Cusip number is 48128GBR0.

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