JPMorgan plans contingent coupon callable notes tied to index, ETFs

By Marisa Wong

Madison, Wis., Jan. 15 - JPMorgan Chase & Co. plans to price contingent coupon callable yield notes due Jan. 23, 2017 linked to the Euro Stoxx 50 index, the Vanguard FTSE Emerging Markets exchange-traded fund and the iShares MSCI Emerging Markets ETF, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of at least 8.5% if each component closes at or above its 65% coupon barrier level on a quarterly observation date. The exact contingent quarterly coupon will be set at pricing.

The payout at maturity will be par unless any component finishes below its knock-in level, 65% of its initial level, in which case investors will receive par plus the return of the lowest performing component.

The notes will be callable at par on any interest payment date other than the final date.

J.P. Morgan Securities LLC is the underwriter.

The notes will price on Jan. 17 and settle on Jan. 23.

The Cusip number is 48126NX77.

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