JPMorgan plans contingent interest autocallables linked to two indexes

By Toni Weeks

San Luis Obispo, Calif., Oct. 15 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Jan. 28, 2015 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If each component closes at or above its 65% interest barrier on a quarterly review date, the notes will pay a coupon at an annualized rate of at least 7% for that quarter. The exact contingent coupon will be set at pricing.

If each component closes at or above its initial level on any review date other than the final review date, the notes will be called at par plus the contingent coupon.

A trigger event occurs if either index closes below its 65% trigger level during the life of the notes.

If the index return of each component is zero or positive or a trigger event has not occurred, the payout at maturity will be par plus the contingent coupon.

If the index return of either index is negative and a trigger event has occurred, investors will be exposed to the decline of the lesser-performing index from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48126NXR3) will price Oct. 23 and settle Oct. 28.

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