New Issue: JPMorgan prices $450,000 notes linked to four currencies vs. dollar

By Jennifer Chiou

New York, May 6 - JPMorgan Chase & Co. priced $450,000 of 0.15% notes due May 5, 2017 linked to the performance of an equally weighted basket of currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable annually.

The basket includes the Indian rupee, the Indonesian rupiah, the Turkish lira and the South African rand.

If the basket return is positive, the payout at maturity will be par plus the basket return, subject to an effective cap of $2,000 per $1,000 principal amount of notes. If the basket return is zero or negative, the payout will be par.

The final basket level will be the average of the basket's closing levels on the five trading days ending May 2, 2017.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Notes
Underlying currencies:	Indian rupee, Indonesian rupiah, Turkish lira and South African rand, equally weighted relative to dollar
Amount:	$450,000
Maturity:	May 5, 2017
Coupon:	0.15%, payable annually
Price:	Par
Payout at maturity:	Par plus any basket gain, capped at gain of 100%; floor of par
Initial spot rates:	60.225 for rupee, 11,537 for rupiah, 2.09915 for lira, 10.4625 for rand
Pricing date:	May 2
Settlement date:	May 7
Agent:	J.P. Morgan Securities LLC
Fees:	1.5%
Cusip:	48126N6F9

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