JPMorgan plans capped buffered equity notes linked to index basket

By Marisa Wong

Madison, Wis., Nov. 13 - JPMorgan Chase & Co. plans to price 0% capped buffered equity notes due May 24, 2016 linked to a basket consisting of the Russell 2000 index with a 75% weight and the S&P 500 index with a 25% weight, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus any basket gain, up to a maximum return of at least 25%. The exact cap will be set at pricing.

Investors will receive par if the basket falls by up to 15% and will lose 1% for every 1% decline beyond 15%.

J.P. Morgan Securities LLC is the agent.

The notes will price on Nov. 19 and settle on Nov. 22.

The Cusip number is 48126NE94.

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