JPMorgan plans capped buffered return enhanced notes on index, funds

By Susanna Moon

Chicago, Dec. 17 - JPMorgan Chase & Co. plans to price 0% capped buffered return enhanced notes due Feb. 6, 2014 linked to a basket of funds and one index, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the and the SPDR S&P 500 exchange-traded fund trust with a 40% weight, the iShares MSCI Emerging Markets index fund with a 25% weight, Russell 2000 index with a 20% weight and the iShares MSCI EAFE index fund with a 15% weight.

The payout at maturity will be par plus 1.3 times any gain in the basket, up to a maximum return of 10% to 13%. The exact cap will be set at pricing.

Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

J.P. Morgan Securities LLC is the underwriter.

The notes will price on Jan. 2 and settle on Jan. 7.

The Cusip number is 48126DPU7.

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