JPMorgan plans 6.25% autocallable yield notes linked to fund, indexes

By Toni Weeks

San Luis Obispo, Calif., Feb. 6 - JPMorgan Chase & Co. plans to price 6.25% autocallable yield notes due May 26, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund, the Euro Stoxx 50 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Interest is payable quarterly. The exact coupon will be set at pricing.

The notes will be called at par plus accrued interest if each component closes at or above its initial level on any quarterly call date.

A trigger event will occur if any component closes below its initial level by more than the 40% buffer amount on any trading day during the life of the notes.

The payout at maturity will be par unless a trigger event occurs and the return of the worst-performing component is negative, in which case investors will share in losses of the worst-performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price Feb. 19 and settle Feb. 24.

The Cusip number is 48126N3M7.

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