New Issue: JPMorgan sells $4.33 million capped buffered return enhanced notes tied to basket

By Devika Patel

Knoxville, Tenn., June 16 – JPMorgan Chase & Co. priced $4.33 million of 0% capped buffered return enhanced notes due Jan. 17, 2018 linked to linked to a basket of two indexes and two exchange-traded, funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket components are the S&P 500 index with a 60% weight, the iShares MSCI EAFE exchange-traded fund with a 25% weight, the Russell 2000 index with a 10% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 5% weight.

The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum payout of par plus 18.35%.

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

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped buffered return enhanced notes
Underliers:	S&P 500 index with a 60% weight, the iShares MSCI EAFE exchange-traded fund with a 25% weight, the Russell 2000 index with a 10% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 5% weight
Amount:	$4,332,000
Maturity:	Jan. 17, 2018
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	Par plus 1.5 times any basket gain, capped at par plus 18.35%; par if basket declines by 10% or less; 1% loss for each 1% decline beyond 10%
Initial share prices:	2,075.32 for S&P 500, $55.42 for EAFE, 1,147.823 for Russell 2000, $32.95 for Emerging Markets
Pricing date:	June 14
Settlement date:	June 17
Agent:	J.P. Morgan Securities LLC
Fees:	0.6%
Cusip:	46646EHH8

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