New Issue: JPMorgan prices $1.86 million capped buffered enhanced notes on indexes

By Marisa Wong

Morgantown, W.Va., June 27 – JPMorgan Chase & Co. priced $1.86 million of 0% capped buffered enhanced participation notes due May 29, 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 $1,288.75 for each $1,000 principal amount of notes. Investors will receive par if the basket declines by 15% or less and will lose 1.1765% for every 1% that it declines beyond 15%.

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:	$1,863,000
Maturity:	May 29, 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 $1,288.75 per note; par if basket declines by 15% or less; 1.1765% loss for every 1% that basket declines beyond 15%
Pricing date:	June 23
Settlement date:	June 30
Agent:	J.P. Morgan Securities LLC
Fees:	None
Cusip:	46646EJC7

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