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JPMorgan plans capped buffered return enhanced notes on index basket
By Marisa Wong
Madison, Wis., June 5 – JPMorgan Chase & Co. plans to price 0% capped buffered return enhanced notes due June 16, 2017 linked to a weighted basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.
The payout at maturity will be par plus 1.5 times any basket gain, subject to a maximum settlement amount of $1,159 to $1,186 per $1,000 principal amount. 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% decline beyond the 10% buffer.
J.P. Morgan Securities LLC is the agent.
The notes will price June 10 and settle June 17.
The Cusip number is 48125UWJ7.
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