JPMorgan plans contingent coupon callable yield notes on indexes, fund

By Toni Weeks

San Luis Obispo, Calif., May 23 - JPMorgan Chase & Co. plans to price contingent coupon callable yield notes due May 31, 2016 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE index fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a quarterly coupon at an annualized rate of at least 8% if each underlying component closes at or above its 60% barrier level on the observation date for that quarter. The exact coupon will be set at pricing.

The notes are callable at par plus the contingent coupon on any interest payment date other than the maturity date.

The payout at maturity will be par unless either index or the fund finishes below its 60% knock-in level, in which case investors will receive par plus the return of the worst-performing component.

The notes (Cusip: 48126NBK2) are expected to price May 24 and settle May 30.

J.P. Morgan Securities LLC is the agent.

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