JPMorgan plans 18-month global expansion PLUS linked to fund basket

By Susanna Moon

Chicago, Dec. 2 - JPMorgan Chase & Co. plans to price 0% global expansion Performance Leveraged Upside Securities due June 27, 2012 based on a basket of exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission.

The underlying funds are the iShares MSCI Emerging Markets index fund with a 40% weight, the iShares S&P GSCI Commodity-Indexed trust with a 18% weight, and the iShares Dow Jones U.S. Real Estate index fund, iShares iBoxx $ High Yield Corporate Bond fund, iShares iBoxx $ Investment Grade Corporate Bond fund, iShares Barclays TIPS Bond fund, iShares MSCI Canada index fund, iShares MSCI Pacific ex-Japan index fund and Shares of the iShares MSCI EAFE index fund, each with a 6% weight.

The payout at maturity will be par of $10 plus double any basket gain, up to a maximum return of $11.70 to $12.10 per note. The exact cap will be set at pricing.

Investors will be exposed to any losses.

The notes (Cusip 46634X617) will price on Dec. 27 and settle three business days later.

J.P. Morgan Securities LLC is the agent. It will use all of its commission to allow selling concessions to Morgan Stanley Smith Barney LLC.

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