JPMorgan to price capped buffered enhanced notes linked to S&P 500

By Marisa Wong

Madison, Wis., Feb. 6 - JPMorgan Chase & Co. plans to price 0% capped buffered enhanced participation equity notes due July 16, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus 1.2 times the index return, subject to a maximum settlement amount of $1,156 to $1,180 per $1,000 principal amount of notes.

Investors will receive par if the index falls by up to 10% and will lose 1.1111% for every 1% that it declines beyond 10%.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price on Feb. 7 and settle on Feb. 14.

The Cusip number is 48126N3K1.

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