JPMorgan to price contingent interest autocallables tied to Lions Gate

By Toni Weeks

San Luis Obispo, Calif., July 22 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Aug. 12, 2015 linked to the common stock of Lions Gate Entertainment Corp., according to an FWP filing with the Securities and Exchange Commission.

If Lions Gate stock closes at or above the interest barrier level, 75% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment of $36.50 per $1,000 principal amount. The rate is equivalent to 14.6% per year.

If the closing share price is greater than or equal to the initial share price on any quarterly review date other than the final date, the notes will be automatically redeemed at par plus the contingent payment.

If the notes are not called and the final share price is greater than or equal to the 75% trigger level, the payout at maturity will be par plus the contingent interest payment. Otherwise, investors will share fully in losses from the initial share price to the final share price.

The final share price will be the average of the closing share prices on the five trading days ending Aug. 7, 2015.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48127DUB2) will price July 25 and settle July 30.

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