JPMorgan plans 9.75% autocallable yield notes on S&P 500, Russell 2000

By Susanna Moon

Chicago, Aug. 26 - JPMorgan Chase & Co. plans to price 9.75% annualized autocallable yield notes due March 15, 2012 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest is payable monthly.

The notes will be called if the indexes close above their initial levels on the call date of Dec. 9.

The payout at maturity will be par unless either index falls to or below its knock-in level - 65% of its initial level - during the life of the notes and finishes below its initial level, in which case investors will receive par plus the return of the worst-performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Sept. 9 and settle on Sept. 14.

The Cusip is 48125XT89.

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