JPMorgan to price 7%-9% autocallable yield notes on fund, index

By Toni Weeks

San Luis Obispo, Calif., April 30 - JPMorgan Chase & Co. plans to price 7% to 9% autocallable yield notes due May 30, 2014 linked to the iShares MSCI Emerging Markets index fund and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

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

The notes will be automatically called at par plus accrued interest if both components close at or above their initial levels on any of three quarterly call dates.

A trigger event will occur if either component falls below the trigger level, 70% of its initial level, on any trading day.

If a trigger event does not occur or if it does and the return of the least-performing component is zero or positive, investors will receive par at maturity.

If a trigger event occurs and the return of the least-performing component is negative, investors will share in those losses.

The notes (Cusip: 48126D3E7) are expected to price May 28 and settle May 31.

J.P. Morgan Securities LLC is the agent.

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