JPMorgan plans capped buffered equity notes on index, ETF basket

By Marisa Wong

Madison, Wis., June 22 – JPMorgan Chase & Co. plans to price 0% capped buffered equity notes due June 29, 2017 linked to a basket consisting of the S&P 500 index with a 50% weight, the Euro Stoxx 50 index with a 30% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 20% 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 1.1765% for every 1% decline beyond 15%.

J.P. Morgan Securities LLC is the agent.

The notes will price on June 24 and settle on June 29.

The Cusip number is 48125UXT4.

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