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

By Susanna Moon

Chicago, Dec. 31 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due May 1, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 6% to 8% if each index closes at or above its interest barrier level, 70% of its initial level, on the review date for that quarter.

The notes will be 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 date.

The payout at maturity will be par unless either index falls and either index ever closes below its 70% barrier level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Jan. 26 and settle on Jan. 29.

The Cusip number is 48128GGZ7.

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