JPMorgan plans autocallable contingent interest notes on S&P, Russell

By Susanna Moon

Chicago, May 1 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due May 29, 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 6.5% to 8.5% 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% barrier level on any day during the life of the notes.

If the notes have not been called, the payout at maturity will be par plus the coupon unless either index falls and a trigger event has occurred, in which case investors will be exposed to any losses of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 27 and settle May 30.

The Cusip number is 48127DGP7.

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