JPMorgan plans 8.5%-10.5% autocallable yield notes on Russell, ETF

By Marisa Wong

Madison, Wis., Feb. 28 - JPMorgan Chase & Co. plans to price autocallable yield notes due March 31, 2014 linked to the Market Vectors Gold Miners exchange-traded fund and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable monthly. The coupon is expected to be between 8.5% and 10.5% per year.

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

A trigger event will occur if either component falls below the trigger level, 70% of the initial level, on any trading day during the life of the notes.

If a trigger event does not occur or if it does and the return of the lesser performing component is zero or positive, investors will receive par at maturity.

If a trigger event occurs and the return of the lesser performing component is negative, investors will share in those losses.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price on March 25 and settle on March 28.

The Cusip number is 48126DYV5.

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