JPMorgan plans contingent interest autocallables tied to gold fund

By Toni Weeks

San Luis Obispo, Calif., Aug. 13 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Dec. 1, 2015 linked to the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If the fund closes at or above its 70% interest barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of 6% to 8% for that period, with the exact coupon to be set at pricing.

The notes will be automatically called at par plus the contingent coupon if the fund closes at or above its initial level on the second, third or fourth quarterly review date.

A trigger event occurs if the fund closes below its trigger level, 70% of its initial level, during the life of the notes.

If the notes are not called and a trigger event has not occurred or the fund finishes at or above its initial level, the payout at maturity will be par plus the contingent coupon. If the final share price is less than the initial level and a trigger event has occurred, investors will be fully exposed to the fund decline.

The notes (Cusip: 48127DXD5) are expected to price Aug. 25 and settle Aug. 28.

J.P. Morgan Securities LLC is the agent.

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