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JPMorgan plans buffered enhanced participation notes linked to indexes
By Tali Rackner
Norfolk, Va., Nov. 24 – JPMorgan Chase & Co. plans to price 0% capped buffered enhanced participation notes due June 6, 2017 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes 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.
If the basket return is positive, the payout at maturity will be par plus two times the basket return, subject to a maximum payout of $1,122 to $1,143 for each $1,000 principal amount of notes. The exact cap will be set at pricing.
Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for each 1% that it declines beyond 10%.
J.P. Morgan Securities LLC is the agent.
The notes are expected to price on Dec. 1 and settle on Dec. 8.
The Cusip number is 48128GDN7.
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