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JPMorgan plans capped buffered enhanced notes linked to index basket
By Susanna Moon
Chicago, Feb. 22 – JPMorgan Chase & Co. plans to price 0% capped buffered enhanced participation notes due July 27, 2017 linked to a basket of five indexes, according to a 424B2 filed 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, up to a maximum settlement amount of between $1,204 and $1,240.00 for each $1,000 principal amount.
Investors will receive par if the basket falls by up to 15% and will lose 1.1765% for every 1% decline beyond 15%.
J.P. Morgan Securities LLC is the agent.
The notes will price on Feb. 23 and settle on March 1.
The Cusip number is 48128GNT3.
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