JPMorgan plans 11.5%-12.5% autocallable yield notes on fund, indexes

By Marisa Wong

Madison, Wis., May 1 - JPMorgan Chase & Co. plans to price 11.5% to 12.5% autocallable yield notes due May 31, 2013 linked to the least performing of the SPDR S&P Metals & Mining exchange-traded fund, 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 automatically at par plus accrued interest if the underlying components close above their initial levels on any of three quarterly call dates. The call dates are Aug. 28, Nov. 27, 2012 and Feb. 25, 2013.

A trigger event will occur if any underlying component closes below the trigger level, 60% of the initial level, on any trading day during the life of the notes.

If a trigger event does not occur, 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: 48125VXE5) will price May 25 and settle May 31.

J.P. Morgan Securities LLC is the agent.

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