JPMorgan plans trigger PLUS linked to basket of two indexes, ETF

By Marisa Wong

Madison, Wis., May 23 - JPMorgan Chase & Co. plans to price 0% trigger Performance Leveraged Upside Securities due June 2, 2017 linked to an equally weighted basket of two indexes and an exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index, the Euro Stoxx 50 index and the WisdomTree Japan Hedged Equity fund.

If the basket return is positive, the payout at maturity will be par plus 200% of the basket gain, subject to a maximum payment of at least $12.60 per $10.00 note. The exact cap will be set at pricing.

If the final basket level is greater than the trigger level, 80% of the initial level, the payout will be par.

Otherwise, investors will be fully exposed to the basket decline.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 30.

The Cusip number is 48127F293.

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