JPMorgan to price autocallable contingent interest notes on indexes

By Marisa Wong

Madison, Wis., April 1 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due April 30, 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 index closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of 6% to 8% for that quarter. The exact rate will be set at pricing.

If each underlying index 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.

A trigger event occurs if either index closes below its 70% trigger level on any day during the life of the notes.

If the notes have not been called and the final level of each index is greater than or equal to its initial level or a trigger event has not occurred, the payout at maturity will be par plus the coupon. If either index finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48127DDG0) will price April 25 and settle April 30.

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