JPMorgan plans 9%-11% autocallable yield notes tied to indexes, ETF

By Jennifer Chiou

New York, Aug. 16 - JPMorgan Chase & Co. plans to price autocallable yield notes due Aug. 30, 2013 linked to the SPDR S&P Metals & Mining exchange-traded fund, the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

The notes will carry a coupon of 9% to 11% per year. The exact interest rate will be set at pricing. Interest will be payable monthly.

The notes will be called at par if all three of the underlying components close at or above their initial levels on Nov. 27, 2012, Feb. 25, 2013 or May 28, 2013.

A trigger event will occur if any underlying component falls by more than 50% during the life of the notes.

The payout at maturity will be par unless a trigger event occurs and the final level of any underlying component is less than its initial level, in which case investors will lose 1% for every 1% that the final level of the worst-performing underlying component is less than its initial level.

The notes (Cusip: 48125V3F5) are expected to price on Aug. 28 and settle on Aug. 31.

J.P. Morgan Securities LLC is the agent.

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