JPMorgan changes cap for buffered return enhanced notes linked to Russell 2000

By Angela McDaniels

Tacoma, Wash., Dec. 1 - JPMorgan Chase & Co. lowered the range of the maximum return for its upcoming 0% buffered return enhanced notes due June 29, 2012 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus double any index gain, subject to a maximum return of 18% to 22% that will be set at pricing. Prior to the change, the cap was expected to be 20% to 24%.

Investors will receive par if the index falls by 10% or less and will lose 1% for each 1% that it declines beyond 10%.

The notes (Cusip 48124A3Y1) are expected to price Dec. 22 and settle Dec. 28.

J.P. Morgan Securities LLC is the agent.

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