By Marisa Wong
Madison, Wis., March 10 – JPMorgan Chase & Co. priced $5 million of 0% capped buffered enhanced participation notes due Dec. 9, 2016 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange.
The basket consists of 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.
The payout at maturity will be par plus 1.4 times any gain in the basket, up to a maximum return of 22.4%.
Investors will receive par if the basket falls by up to 12.5% and will lose 1.1429% for each 1% decline beyond 12.5%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped buffered enhanced participation notes
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| Underlying basket: | Euro Stoxx 50 index (37% weight), FTSE 100 index (23% weight), Topix index (23% weight), the Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight)
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| Amount: | $5 million
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| Maturity: | Dec. 9, 2016
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 140% of any basket gain, capped at 22.4%; par if basket falls by up to 12.5%; 1.1429% loss per 1% drop beyond 12.5%
|
| Buffer level: | 87.5% of initial level
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| Pricing date: | March 6
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| Settlement date: | March 13
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 48125UHQ8
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