JPMorgan to price autocallable contingent interest notes linked to Financial Select Sector SPDR

By Angela McDaniels

Tacoma, Wash., Feb. 7 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Feb. 27, 2013 linked to the Financial Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

If the exchange-traded fund closes at or above the trigger level, 80% of the initial share price, on a review date, the notes will pay a 3.1625% coupon that quarter, which is equivalent to 12.65% per year. If the ETF closes below the trigger level, no coupon will be paid that quarter. The review dates are expected to be May 22, 2012, Aug. 22, 2012, Nov. 21, 2012 and Feb. 22, 2013.

If the ETF closes at or above the initial share price on any of the first three review dates, the notes will be automatically called at par plus 3.1625%.

If the notes have not been called and the final share price is greater than or equal to the trigger level, the payout at maturity will be par plus 3.1625%. If the final share price is less than the trigger level, investors will be exposed to the decline of the ETF from the initial share price.

The notes (Cusip: 48125VMT4) are expected to price Feb. 10 and settle Feb. 15.

J.P. Morgan Securities LLC is the underwriter.

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