JPMorgan plans callable contingent interest notes tied to indexes, ETF

By Angela McDaniels

Tacoma, Wash., Jan. 27 - JPMorgan Chase & Co. plans to price callable contingent interest notes due Feb. 2, 2016 linked to the S&P 500 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if each underlier closes at or above its interest barrier level, 70% of its initial level, on the observation date for that quarter. The contingent coupon is expected to be at least 9% per year, or at least 2.25% per quarter, and will be set at pricing.

The payout at maturity will be par unless the final level of any underlier is less than 60% of its initial level, in which case investors will be fully exposed to the decline of the worst-performing underlier.

The notes are callable at par plus the contingent coupon, if any, on any interest payment other than the final one.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Jan. 28 and settle Jan. 31.

The Cusip number is 48126N2D8.

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