By Susanna Moon
Chicago, Oct. 2 – JPMorgan Chase & Co. priced $5.57 million of 0% buffered enhanced participation notes due Sept. 28, 2017 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
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 1.3 times any basket gain, up to a maximum payout of $1,360.75 per $1,000 principal amount of notes.
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.
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| Issue: | Buffered enhanced participation notes
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| Underlying indexes: | Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix (23% weight), Swiss Market (9% weight) and S&P/ASX 200 (8% weight)
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| Amount: | $5,567,000
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| Maturity: | Sept. 28, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 1.3 times any basket gain, capped at 36.075%; par if basket falls by 12.5% or less; 1.1429% loss for each 1% decline beyond 12.5%
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| Pricing date: | Sept. 25
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| Settlement date: | Sept. 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 48125U4Z2
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