JPMorgan plans capped notes linked to three return enhanced indexes

By Angela McDaniels

Tacoma, Wash., May 12 – JPMorgan Chase & Co. plans to price 0% capped notes due June 2, 2016 linked to a weighted basket of three return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 58% weight, the FTSE 100 index with a 21% weight and the Topix index with a 21% weight

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.

If an index's final level is greater than its initial level, its component return will be 1.5 times its return, subject to a maximum return that is expected to be at least 23.775% for each index and will be set at pricing. If the index declines by 10% or less, its component return will be zero. If the index declines by more than 10%, its component return will be equal to its return.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price May 13 and settle May 14.

The Cusip number is 48125URV6.

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