JPMorgan plans autocallable contingent interest notes tied to indexes

By Marisa Wong

Madison, Wis., Feb. 4 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due May 27, 2016 linked to the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

If each index closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 8% to 10% for that interest period. The exact contingent coupon will be set at pricing.

If each index 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 index closes below the 70% 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 either index finishes below its initial level and a trigger event has occurred, in which case investors will lose 1% for every 1% decline in the lesser-performing index from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 24 and settle on Feb. 27.

The Cusip number is 48125UAM4.

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