JPMorgan plans autocallable contingent interest notes on index, fund

By Marisa Wong

Madison, Wis., Sept. 5 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Sept. 14, 2017 linked to the S&P 500 index and the Vanguard Total Stock Market exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If each underlying component closes at or above the 80% coupon barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of at least 6% for that quarter. The exact rate will be set at pricing.

The notes will be called at par plus the contingent coupon if each underlying component closes at or above its initial level on any quarterly review date other than the first, second, third and final review dates.

The payout at maturity will be par plus the final coupon unless the either component finishes below its trigger level, 70% of its initial level, in which case investors will be fully exposed to the decline of the worse performing underlying component.

J.P. Morgan Securities LLC is the agent.

The notes will price on Sept. 9 and settle on Sept. 12.

The Cusip number is 48127DZP6.

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