JPMorgan plans contingent interest autocallables linked to two indexes

By Toni Weeks

San Luis Obispo, Calif., June 2 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Sept. 30, 2015 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If each index closes at or above its 70% interest barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of 6.75% to 7.75% for that period. The exact contingent coupon will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date other than the final review date.

A trigger event occurs if either component closes below its trigger level, 70% of its initial level, during the life of the notes.

If the notes are not called and a trigger event has not occurred or each index finishes at or above its initial level, the payout at maturity will be par plus the contingent coupon. If either underlying index is less than its initial level and a trigger event has occurred, investors will be exposed to the decline of the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price June 25 and settle June 30.

The Cusip number is 48127DKZ0.

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