JPMorgan plans autocallable reverse exchangeables tied to food stocks

By Angela McDaniels

Tacoma, Wash., Aug. 6 – JPMorgan Chase & Co. plans to price autocallable reverse exchangeable notes due Feb. 17, 2017 linked to the least performing of the stocks of ConAgra Foods, Inc., General Mills, Inc., Kellogg Co. and Mondelez International, Inc., according to an FWP filing with the Securities and Exchange Commission.

The interest rate is expected to be at least 8% per year and will be set at pricing. Interest will be payable monthly.

The notes will be called at par if each stock closes at or above its initial share price on Nov. 16, 2015, Feb. 16, 2016, May 16, 2016, Aug. 15, 2016 or Nov. 14, 2016.

If the notes are not called, the payout at maturity will be par unless any stock finishes below its trigger value, 75% of its initial share price, in which case the payout will be a number of shares of the least-performing stock equal to $1,000 divided by its initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Aug. 14 and settle Aug. 19.

The Cusip number is 46625HMV9.

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