JPMorgan plans trigger step performance notes on Vanguard FTSE EM

By Marisa Wong

Madison, Wis., May 5 - JPMorgan Chase & Co. plans to price 0% trigger step performance securities due May 31, 2017 linked to the Vanguard FTSE Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If the index return is zero or positive, the payout at maturity will be par of $10 plus the greater of the step return and the index return. Investors will receive par if the index declines by 20% or less and will be fully exposed to the index's decline from its initial level if it declines beyond 20%.

The step return is expected to be 18% to 22% and will be set at pricing.

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

The notes will price on May 27 and settle on May 30.

The Cusip number is 48127E296.

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