JPMorgan plans contingent interest autocallables linked to Gold Miners

By Toni Weeks

San Luis Obispo, Calif., Feb. 11 – JPMorgan Chase & Co. plans to price contingent interest autocallable notes due May 26, 2016 linked to the Market Vectors Gold Miners exchange-traded fund, according to an FWP with the Securities and Exchange Commission.

The notes will pay a contingent quarterly payment of 11% to 13% per year if the fund closes at or above its 65% interest barrier level on any quarterly review date.

The notes will be called at par plus the contingent payment if the fund closes at or above the initial price on any review date other than the final date.

A trigger event occurs if the fund closes below the 65% trigger level on any day during the life of the notes.

If the notes have not been called and the final price is greater than or equal to the initial level or a trigger event has not occurred, the payout at maturity will be par plus the final coupon. If the fund return is negative and a trigger event has occurred, the payout will be par plus the fund return, with full exposure to the decline in the fund from its initial level.

The notes (Cusip: 48125UER9) will price Feb. 23 and settle Feb. 26.

J.P. Morgan Securities LLC is the agent.

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