JPMorgan plans trigger autocallables linked to iShares Russell ETF

By Marisa Wong

Madison, Wis., Jan. 3 - JPMorgan Chase & Co. plans to price 0% trigger autocallable optimization securities due Jan. 15, 2016 linked to the iShares Russell 2000 exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par of $10 plus a call return of 8% per year if the fund closes at or above the initial share price on any quarterly observation date.

If the notes are not called and the shares finish at or above the trigger level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the fund's decline. The trigger level is expected to be 73% to 77% of the initial share price and will be set at pricing.

UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.

The notes are expected to price Jan. 10 and settle Jan. 15.

The Cusip number is 48127A336.

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