JPMorgan plans autocallable contingent interest notes on indexes, ETF

By Marisa Wong

Madison, Wis., April 9 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due July 24, 2015 linked to the Russell 2000 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If each underlying closes at or above the 60% barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of at least 6.2% for that quarter. The exact rate will be set at pricing.

If each underlying 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 underlying closes below its 60% trigger level on any day during the life of the notes.

If the notes have not been called and the final level of each underlying 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 underlying finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing component.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48127DEN4) will price April 21 and settle April 24.

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