JPMorgan plans capped buffered enhanced notes on index, ETF basket

By Wendy Van Sickle

Columbus, Ohio, Dec. 24 – JPMorgan Chase & Co. plans to price 0% capped buffered return enhanced notes due April 3, 2018 linked to a weighted basket of seven indexes and one exchange-traded fund, according to a 424B2 filed with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 20% weight, the FTSE 100 index with a 15% weight, the Topix index with a 15% weight, the Hang Seng index with a 10% weight, the Korea Stock Price index 200 with a 10% weight, the Taiwan Stock Exchange Capitalization Weighted Stock index with a 10% weight; the Swiss Market index with a 10% weight and the WisdomTree India Earnings fund with a 10% weight.

The payout at maturity will be par plus 1.25 times any basket gain, subject to a maximum return between 33.75% and 41.25%. 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 the 15% buffer.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price on Dec. 28 and settle on Dec. 31.

The Cusip number is 48128GGL8.

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