JPMorgan plans contingent interest autocallables linked to index, fund

By Toni Weeks

San Luis Obispo, Calif., Aug. 16 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Aug. 25, 2016 linked to the lesser performing of the S&P 500 index and the Vanguard Total Stock Market index fund, according to an FWP filing with the Securities and Exchange Commission.

If each component closes at or above its 75% interest barrier on a quarterly review date, the notes will pay a coupon at an annualized rate of at least 6% for that quarter. The exact contingent coupon will be set at pricing.

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

The payout at maturity will be par plus the contingent coupon unless either component finishes below the 67.5% trigger level, in which case the payout will be par plus the return of the lesser-performing component with full exposure to any losses.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48126NNV5) will price Aug. 21 and settle Aug. 26.

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