JPMorgan plans capped leveraged buffered notes linked to index, fund

By Toni Weeks

San Diego, Nov. 9 - JPMorgan Chase & Co. plans to price 0% capped leveraged buffered notes due May 15, 2015 linked to a basket of one index and one fund, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the MSCI EAFE index with a 60% weight and the iShares MSCI Emerging Markets index fund with a 40% weight.

If the basket return is positive, the payout at maturity will be 1.5 times the basket return, subject to a maximum settlement amount of $1,172.50 to $1,195.00 per $1,000 principal amount of notes. The exact cap will be set at pricing.

Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% basket decline beyond the 10% buffer.

The initial basket level will be the lowest basket closing level during the observation period, which is every trading day between the pricing date and Jan. 14, inclusive.

The notes (Cusip: 48126DGN3) are expected to price Nov. 12 and settle Nov. 19.

J.P. Morgan Securities LLC is the agent.

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