JPMorgan plans contingent interest autocallables linked to index, fund

By Susanna Moon

Chicago, May 15 - JPMorgan Chase & Co. plans to price callable contingent interest notes due May 23, 2016 linked to the least performing of the S&P 500 index and the Vanguard Total Stock Market index fund, according to a 424B2 filing with the Securities and Exchange Commission.

If each component closes at or above its 70% barrier level on a quarterly review date, the notes will pay a coupon of at least 4.75% for that quarter.

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

The payout at maturity will be par plus the contingent coupon unless either component finishes below the 65% trigger level, in which case the payout will be par plus the return of the worse performing component with full exposure to any losses.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 17 and settle on May 22.

The Cusip number is 48126D5K1.

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