JPMorgan plans contingent return optimization notes on Russell 2000

By Toni Weeks

San Luis Obispo, Calif., April 2 - JPMorgan Chase & Co. plans to price 0% contingent return optimization securities due Oct. 31, 2016 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes at or above the 75% trigger level, the payout at maturity will be par plus the greater of the 6% contingent return and any index gain, up to a maximum return of 20% to 25% that will be set at pricing.

Otherwise, investors will be fully exposed to losses from the initial index level.

The notes (Cusip: 48127F806) will price April 25 and settle April 30.

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

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