JPMorgan plans to price return notes linked to basket of 16 stocks

By Marisa Wong

Madison, Wis., July 2 – JPMorgan Chase & Co. plans to price 0% return notes due July 22, 2015 linked to a basket of stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes Pfizer Inc., Merck & Co., Inc., Sanofi, Bristol-Myers Squibb Co., Walgreen Co., Eli Lilly & Co., Mylan Inc., Perrigo Co. plc and Zoetis Inc., each with a 6 2/3% weight, and Biogen Idec Inc., Celgene Corp., Valeant Pharmaceuticals International, Inc., Illumina, Inc., Endo Health Solutions Inc., Impax Laboratories, Inc. and Gilead Sciences, Inc., each with a 5 5/7% weight.

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 99.75% basket adjustment factor. Because of the basket adjustment factor, investors will lose principal if the basket return is less than 0.25063%.

The final basket level will be the average of the basket’s closing levels on the five trading days ending July 17, 2015.

J.P. Morgan Securities LLC is the agent.

The notes will price on July 3 and settle on July 9.

The Cusip number is 48127DRX8.

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