JPMorgan plans autocallable contingent interest notes tied to indexes

By Marisa Wong

Madison, Wis., July 8 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Oct. 20, 2016 linked to the worse performing of the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a continent quarterly coupon at an annualized rate of at least 6% if each index closes at or above its coupon barrier level, 65% of its initial share price, on the review date for that quarter.

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

The payout at maturity will be par plus any contingent coupon unless either index finishes below its 65% trigger level, 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 July 17 and settle on July 22.

The Cusip number is 48125UZW5.

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