JPMorgan plans capped buffered return enhanced notes linked to indexes

By Angela McDaniels

Tacoma, Wash., Nov. 18 – JPMorgan Chase & Co. plans to price 0% capped buffered return enhanced notes due Nov. 24, 2017 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 60% weight, the S&P MidCap 400 index with a 25% weight and the Russell 2000 index with a 15% weight.

If the basket return is positive, the payout at maturity will be par plus 1.15 times the basket return, up to a maximum return that is expected to be 20% to 25% and will be set at pricing. Investors will receive par if the basket declines by 10% or less and will lose 1% for every 1% that the basket declines beyond 10%.

J.P. Morgan Securities LLC is the agent.

The notes will price Nov. 19.

The Cusip number is 48128GDG2.

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