JPMorgan plans 11.05% autocallable yield notes on gold ETF, Russell

By Jennifer Chiou

New York, Oct. 22 - JPMorgan Chase & Co. plans to price autocallable yield notes due Oct. 31, 2013 linked to the lesser performing of the Market Vectors Gold Miners exchange-traded fund and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

The coupon will be at least 11.05% and will be set at pricing. Interest will be payable monthly.

The notes will be called automatically at par if each underlying closes at or above its initial level on Jan. 28, April 25, 2013 or July 26, 2013.

A trigger event will occur if the closing level of either underlying is less than its initial level by more than 40% on any day during the life of the notes.

The payout at maturity will be par unless either underlying finishes below its initial level and a trigger event has occurred, in which case investors will lose 1% for every 1% that the worse-performing component declines below its initial level.

The notes (Cusip: 48126DEF2) are expected to price on Oct. 26 and settle on Oct. 31.

J.P. Morgan Securities LLC will be the agent.

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