JPMorgan plans autocallable contingent interest notes tied to indexes

By Jennifer Chiou

New York, March 3 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due March 31, 2015 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

If each underlying component closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of at least 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.

The payout at maturity will be par unless either underlying index finishes below the 70% trigger level, in which case investors will be fully exposed to the decline in the worst-performing index.

The notes (Cusip: 48127DAA6) are expected to price on March 28 and settle on March 31.

J.P. Morgan Securities LLC is the agent.

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