JPMorgan plans 10.5% autocallable yield notes on oil fund, Russell

By Toni Weeks

San Diego, Oct. 24 - JPMorgan Chase & Co. plans to price 10.5% autocallable yield notes due Oct. 31, 2013 linked to the United States Oil Fund, LP and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest is payable monthly.

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

A trigger event will occur if either component falls below the trigger level, 65% 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: 48126DFA2) are expected to price Oct. 26 and settle Oct. 31.

J.P. Morgan Securities LLC is the agent.

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