JPMorgan plans contingent interest autocallables linked to index, funds

By Susanna Moon

Chicago, May 12 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due May 18, 2016 linked to the worst performing of the Russell 2000 index, iShares MSCI EAFE exchange-traded fund and iShares MSCI Emerging Markets ETF, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of 7% if each component closes at or above its 60% barrier level on a review date 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 review date.

The payout at maturity will be par plus the contingent coupon any either component finishes below the 60% trigger level, in which case investors will be exposed to any losses of the worst performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 13 and settle on May 16.

The Cusip number is 48127DJD1.

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