JPMorgan to price contingent buffered equity notes linked to Ibex 35

By Toni Weeks

San Luis Obispo, Calif., June 4 - JPMorgan Chase & Co. plans to price 0% contingent buffered equity notes due June 11, 2015 linked to the Ibex 35 index, according to an FWP filing with the Securities and Exchange Commission.

The index is composed of the 35 most liquid securities listed on the Spanish Stock Exchange Interconnection System of the four Spanish stock exchanges: the Barcelona Stock Exchange, Bilbao Stock Exchange, Madrid Stock Exchange and Valencia Stock Exchange.

If the final index level is at least 70% of the initial level, the payout at maturity will be par plus the greater of the index return and the contingent minimum return, which is expected to be at least 4.07% and will be set at pricing.

If the final index level falls below the 70% trigger level, investors will be fully exposed to losses from the initial index level.

The notes (Cusip: 48126NEA1) are expected to price June 7 and settle June 12.

J.P. Morgan Securities LLC is the agent.

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