JPMorgan plans autocallable contingent interest notes linked to index, fund

By Toni Weeks

San Luis Obispo, Calif., Dec. 2 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due March 18, 2016 linked to the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If each underlying component closes at or above the 65% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 7% to 9% for that interest period. The exact coupon will be set at pricing.

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 either underlying component closes below the 65% trigger level during the life of the notes.

If the notes are not called and each component finishes at or above its initial level or a trigger event has not occurred, the payout at maturity will be par plus the contingent coupon.

If either underlying component finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing underlying component from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48127D2K3) are expected to price Dec. 15 and settle Dec. 18.

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