JPMorgan plans contingent interest autocallables linked to index, fund

By Susanna Moon

Chicago, March 23 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due April 4, 2016 linked to the S&P 500 index and the iShares MSCI Brazil Capped ETF, according to an FWP with the Securities and Exchange Commission.

If each underlying component closes at or above the 55% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 8.5% and 10.5% for that quarter.

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 55% 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 component finishes below its initial level and a trigger event has occurred, in which case investors will be fully exposed to any losses of the worse performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price on March 30 and settle on April 2.

The Cusip number is 48125UKQ4.

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