JPMorgan plans upside autocallable reverse exchangeables on Swift

By Jennifer Chiou

New York, Oct. 7 – JPMorgan Chase & Co. plans to price upside autocallable reverse exchangeable notes due Oct. 19, 2015 linked to the common stock of Swift Transportation Co., according to an FWP with the Securities and Exchange Commission.

The notes will carry a coupon of 7.5% to 8.5%. Interest will be payable monthly, and the exact rate will be set at pricing.

The notes will be called at par if Swift stock closes at or above the initial share price on April 14, 2015 or July 14, 2015.

If the notes are not called, the payout at maturity will be par unless Swift stock finishes below the initial share price and closes below the buffer level, 65% of the initial share price, on any day during the life of the notes, in which case the payout will be a number of Swift shares equal to $1,000 divided by the initial share price.

The notes (Cusip: 48127DK64) will price on Oct. 14 and settle on Oct. 17.

J.P. Morgan Securities LLC is the agent.

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