JPMorgan plans buffered return enhanced notes on iShares MSCI EAFE

By Marisa Wong

Madison, Wis., June 1 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Dec. 31, 2012 linked to the iShares MSCI EAFE index fund, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 1.5 times any fund gain, capped at a maximum total return of 18% to 222%. The exact cap will be set at pricing.

Investors will receive par if the shares fall by up to 10% and will be exposed to declines beyond 10%.

The notes (Cusip: 48125XTH9) are expect to price June 27 and settle June 30.

J.P. Morgan Securities LLC is the agent.

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