JPMorgan to price 5.25% autocallable yield notes on fund, index

By Toni Weeks

San Luis Obispo, Calif., Jan. 16 - JPMorgan Chase & Co. plans to price 5.25% single observation autocallable yield notes due July 23, 2015 linked to the lesser performing of the iShares MSCI EAFE exchange-traded fund and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

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

The notes will be called at par plus the coupon if each underlying component closes at or above its initial level on any of five quarterly call dates. The first call date is April 17.

If the notes are not called, the payout at maturity will be par unless either underlying component falls by more than 20% on the July 20, 2015 final observation date, in which case investors will lose 1.25% for each 1% decline in the worst-performing component beyond the 20% buffer.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48126NY68) are expected to price Jan. 17 and settle Jan. 23.

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