JPMorgan plans capped buffered enhanced participation notes on S&P 500

By Toni Weeks

San Luis Obispo, Calif., Aug. 19 – JPMorgan Chase & Co. plans to price 0% capped buffered enhanced participation equity notes due Aug. 25, 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the initial level, the payout at maturity will be par plus 150% of the index return, subject to a maximum settlement amount of $1,139.50 to $1,169.50 per $1,000 principal amount of notes. The exact maximum payment will be set at pricing.

Investors will receive par if the index stays flat or falls by up to 10% and will lose 1.1111% for each 1% decline in the index beyond 10%.

The notes (Cusip: 48127DWV6) are expected to price Aug. 20 and settle Aug. 27.

J.P. Morgan Securities LLC is the agent.

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