JPMorgan amends terms of capped buffered equity notes linked to basket

By Toni Weeks

San Luis Obispo, Calif., June 23 – JPMorgan Chase & Co. amended the payout terms and dates for its upcoming offering of 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 now be par plus any basket gain, up to a maximum return of at least 20%.

Investors will receive par if the basket falls by up to 18% and will lose 1.2195% for each 1% decline beyond the 18% buffer.

When the offering was announced on Monday, the maximum return was expected to be at least 25%, and the buffer was to be 15%, with a 1.1765% loss for each 1% decline beyond 15%.

The exact maximum return and buffer amount will be set at pricing.

J.P. Morgan Securities LLC is the agent.

The notes will price June 26 and settle July 1, compared to the June 24 and June 29 pricing and settlement dates, respectively, announced on Monday.

The Cusip number is 48125UXT4.

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