JPMorgan to price leveraged notes linked to four currencies vs. euro

By Angela McDaniels

Tacoma, Wash., April 30 - JPMorgan Chase & Co. plans to price 0% notes due May 5, 2017 linked to the performance of an equally weighted basket of currencies relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Indian rupee, the Indonesian rupiah, the Turkish lira and the South African rand.

The payout at maturity will be par plus at least 150% of the basket return, subject to a minimum payout of par and an effective cap of $1,500 per $1,000 principal amount of notes. The exact participation rate will be set at pricing.

The final basket level will be the average of the basket's closing levels on the five trading days ending May 2, 2017.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price May 2 and settle May 7.

The Cusip number is 48126N6E2.

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