JPMorgan plans contingent interest autocallables on S&P 500, Russell

By Toni Weeks

San Luis Obispo, Calif., Dec. 3 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due June 30, 2015 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If each underlying 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 6% to 8% for that quarter. The exact rate 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 underlying index closes below the 70% trigger level during the life of the notes.

If the notes have not been called and a trigger event has not occurred or each index finishes at or above its initial level, the payout at maturity will be par.

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

J.P. Morgan Securities LLC is the agent.

The notes will price on Dec. 20 and settle on Dec. 30.

The Cusip number is 48126NH75.

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