JPMorgan plans capped buffered enhanced participation notes on indexes

By Jennifer Chiou

New York, March 5 – JPMorgan Chase & Co. plans to price 0% capped buffered enhanced participation notes due Dec. 9, 2016 linked to the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the final basket level is greater than the initial level, the payout at maturity will be par plus 1.4 times the basket return, capped at a maximum settlement amount expected to be between $1,213.50 and $1,241.50 for each $1,000 principal amount.

Investors will receive par for losses up to 12.5% and will lose 1.1429% per 1% decline beyond 12.5%.

The notes (Cusip: 48125UHQ8) will price on March 6 and settle on March 11.

J.P. Morgan Securities LLC is the agent.

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