JPMorgan to price notes due 2016 linked to ETF Efficiente 5 index

By Marisa Wong

Madison, Wis., May 16 - JPMorgan Chase & Co. plans to price 0% notes due Aug. 31, 2016 linked to the JPMorgan ETF Efficiente 5 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus at least 100% of the index return, subject to a minimum return of zero. The exact participation rate will be set at pricing.

The index tracks the excess return of a portfolio of 12 exchange-traded funds, with dividends reinvested, and the JPMorgan Cash Index USD 3 Month above the return of the cash index less a fee of 0.5% per year that accrues daily.

The 12 ETFs are the SPDR S&P 500 ETF trust, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund, the iShares Barclays 20+ Year Treasury Bond fund, the iShares iBOXX Investment Grade Corporate Bond fund, the iShares iBOXX High Yield Corporate Bond fund, the iShares MSCI Emerging Markets index fund, the iShares Emerging Markets bond fund, the iShares Dow Jones Real Estate index fund, the iShares S&P GSCI Commodity-Indexed trust, the SPDR Gold trust and iShares Barclays TIPS bond fund.

The notes (Cusip: 48125VYQ7) are expected to price May 25 and settle May 31.

J.P. Morgan Securities LLC is the agent.

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