JPMorgan plans capped buffered leveraged notes linked to index basket

By Angela McDaniels

Tacoma, Wash., April 12 – JPMorgan Chase & Co. plans to price 0% capped buffered enhanced participation notes due April 18, 2018 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 150% of the basket return, subject to a maximum payout of $1,249 to $1,345 for each $1,000 principal amount of notes. The exact maximum payout will be set at pricing. Investors will receive par if the basket declines by 15% or less and will lose 1.17647% for every 1% that it declines beyond 15%.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price April 13.

The Cusip number is 48128GVU1.

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