JPMorgan plans 9% autocallable yield notes on S&P 500, Russell 2000

By Marisa Wong

Madison, Wis., Nov. 4 - JPMorgan Chase & Co. plans to price 9% annualized autocallable yield notes due May 22, 2012 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 notes will be called at par if the indexes close above their initial levels on Feb. 16.

The payout at maturity will be par unless either index falls below its trigger level - 68% 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.

The notes (Cusip: 48125VAX8) will price on Nov. 17 and settle on Nov. 22.

J.P. Morgan Securities LLC is the agent.

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