JPMorgan plans 8%-10% autocallable yield notes tied to S&P, Russell

By Marisa Wong

Madison, Wis., Jan. 9 - JPMorgan Chase & Co. plans to price 8% to 10% annualized autocallable yield notes due Feb. 5, 2013 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest is payable monthly. The exact rate will be set at pricing.

The notes will be called at par if the indexes close above their initial levels on any of three call dates. The call dates are April 30, July 31, 2012 and Oct. 31, 2012.

The payout at maturity will be par unless either index falls below its trigger level - 65% of its initial level - during the life of the notes and finishes below its initial level, in which case investors will receive par plus the return of the worse-performing index.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48125VJB7) will price on Jan. 31 and settle on Feb. 3.

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