By Susanna Moon
Chicago, Aug. 13 – JPMorgan Chase & Co. priced $14.71 million of 0% buffered enhanced participation notes due Feb. 15, 2018 linked to a basket of currencies, each relative to the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the euro with a 33.5% initial weight, the Japanese yen with 25.3% initial weight, the British pound with a 22.9% initial weight, the Swiss franc with a 10.8% initial weight and the Australian dollar with a 7.5% initial weight.
If the basket gains by more than 5%, the payout at maturity will be par plus 1.52 times any basket gain minus 5%, up to a maximum payout of $2,444 per $1,000 principal amount of notes.
The payout will be par if the basket gains by up to 5% or falls by up to 10%.
Otherwise, investors will lose 1.1111% for each 1% decline beyond 10%.
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 basket: | Euro (33.5% weight), Japanese yen (25.3% weight), the British pound (22.9% weight), the Swiss franc (10.8% weight) and the Australian dollar (7.5% weight), each relative to U.S. dollar
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| Amount: | $14.71 million
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| Maturity: | Feb. 15, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket gains by more than 5%, par plus 1.52 times any basket gain minus 5%, capped at $2,444 per $1,000 principal amount of notes; if basket gains by up to 5% or falls by up to 10%, par; otherwise, 1.1111% loss per 1% drop beyond 10%
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| Pricing date: | Aug. 11
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| Settlement date: | Aug. 18
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.67%
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| Cusip: | 48125UUD2
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