JPMorgan to price return notes linked to Italy, Spain SMID indexes

By Angela McDaniels

Tacoma, Wash., April 22 - JPMorgan Chase & Co. plans to price 0% return notes due May 13, 2015 linked to an equally weighted basket of the MSCI Italy SMID Cap index and the MSCI Spain SMID Cap index, according to a 424B2 filing with the Securities and Exchange Commission.

For each $1,000 principal amount of notes, the payout at maturity will be (a) $1,000 multiplied by (b) one plus the basket return multiplied by (c) a basket adjustment factor of 99%. Because of the basket adjustment factor, investors will lose some or all of their principal if the basket return is less than 1.01%.

The final basket level will be the average of the basket's closing levels on the five trading days ending May 8, 2015.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price April 25 and settle April 30.

The Cusip number is 48127DFQ6.

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