JPMorgan plans autocallable contingent interest notes tied to indexes

By Marisa Wong

Madison, Wis., Jan. 31 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due March 2, 2015 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If each underlying component closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of 7% to 9% for that quarter. The exact rate will be set at pricing.

If each underlying 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 coupon.

The payout at maturity will be par unless either underlying component finishes below the 70% trigger level, in which case investors will lose 1% for every 1% decline in the worse performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 25 and settle on Feb. 28.

The Cusip number is 48126N2M8.

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