JPMorgan plans contingent interest autocallables on two funds, index

By Susanna Moon

Chicago, Nov. 10 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Nov. 16, 2017 linked to the iShares MSCI EAFE exchange-traded fund, iShares MSCI Emerging Markets ETF and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

If each underlying component closes at or above the 70% coupon barrier level on a monthly review date, the notes will pay a coupon at an annualized rate of at least 7.5% for that month.

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

A trigger event occurs if any component closes below the 65% trigger level on any day during the life of the notes.

If the notes have not been called, the payout at maturity will be par plus the contingent coupon unless any component finishes below its initial level and a trigger event has occurred, in which case investors will be fully exposed to any losses of the worst performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price on Nov. 11 and settle on Nov. 14.

The Cusip number is 48127DU89.

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