JPMorgan plans callable contingent interest notes linked to two indexes

By Susanna Moon

Chicago, Dec. 2 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Dec. 31, 2014 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 index closes at or above its 70% barrier level on a semiannual review date, the notes will pay a coupon at an annual rate of 6% to 8% for that period. The exact contingent semiannual coupon will be set at pricing.

The notes will be called at par plus the contingent coupon if each index closes above its initial level on any review date other than the final review date.

The payout at maturity will be par plus the contingent coupon unless either index closes below the 70% trigger level on any day during the life of the notes, in which case investors will lose 1% for each 1% decline in the lesser performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price on Dec. 20 and settle on Dec. 30.

The Cusip number is 48126NH59.

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