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JPMorgan plans capped buffered return enhanced notes on index basket
By Marisa Wong
Madison, Wis., April 28 – JPMorgan Chase & Co. plans to price 0% capped buffered return enhanced notes due Nov. 2, 2017 linked to a weighted basket of indexes, according to an amended FWP filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 34.8% weight, the S&P 500 index with a 30% weight, the FTSE 100 index with a 12.6% weight, the Topix index with a 12.6% weight and the Russell 2000 index with a 10% weight.
The payout at maturity will be par plus 1.5 times any basket gain, subject to a maximum return of at least 27.5%. The exact cap will be set at pricing.
Investors will receive par if the basket falls by up to 15% and will lose 1.1765% for every 1% decline beyond the 15% buffer.
J.P. Morgan Securities LLC is the agent.
The notes are expected to price on April 30 and settle on May 5.
The Cusip number is 48125UPT3.
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