New Issue: JPMorgan prices $7.47 million buffered enhanced participation notes linked to index basket

By Angela McDaniels

Tacoma, Wash., June 3 – JPMorgan Chase & Co. priced $7.47 million of 0% capped buffered enhanced participation notes due June 1, 2018 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.

If the basket return is positive, the payout at maturity will be par plus 1.5 times the basket return, subject to a maximum settlement amount of $1,303.75 for each $1,000 principal amount of notes. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped buffered enhanced participation notes
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)
Amount:	$7,466,000
Maturity:	June 1, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 1.5 times basket return, subject to maximum settlement amount of $1,303.75 per note; par if basket declines by 10% or less; 1.1111% loss for every 1% that basket declines beyond 10%
Pricing date:	May 27
Settlement date:	June 6
Agent:	J.P. Morgan Securities LLC
Fees:	2%
Cusip:	48128GYC8

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