JPMorgan plans capped buffered participation notes on Euro Stoxx 50

By Toni Weeks

San Luis Obispo, Calif., May 5 - JPMorgan Chase & Co. plans to price 0% capped buffered enhanced participation equity notes due May 11, 2016 linked to the Euro Stoxx 50 index, converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 1.5 times any gain in the index, subject to a maximum settlement amount of $1,232.50 to $1,277.50 per $1,000 principal amount of notes. The exact cap will be set at pricing. Investors will receive par if the index falls by up to 10% and will lose 1.1111% for each 1% drop beyond the 10% buffer.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price May 6 and settle May 13.

The Cusip number is 48127DGG7.

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