New Issue: JPMorgan prices $4.55 million notes linked to MSCI Italy index stocks

By Marisa Wong

Madison, Wis., July 10 – JPMorgan Chase & Co. priced $4.55 million of 0% notes due Jan. 13, 2016 linked to a basket of the shares of the 24 Italian companies included in the MSCI Italy index, according to a 424B2 filing with the Securities and Exchange Commission.

The issue price is 99.4% of par.

The basket is comprised of 26 ordinary shares and savings shares of the following 24 Italian companies: Assicurazioni Generali SpA, Atlantia SpA, Banca Monte dei Paschi di Siena SpA, Banco Popolare, CNH Industrial, Enel Green Power SpA, Enel SpA, Eni SpA, Exor SpA, Fiat SpA, Finmeccanica SpA, Intesa Sanpaolo SpA, Luxottica Group SpA, Mediobanca Banca di Credito Finanziario SpA, Pirelli & C SpA, Prysmian SpA, Saipem SpA, Snam SpA, Telecom Italia SpA, Tenaris SA, Terna Rete Elettrica Nazionale SpA, UniCredit SpA, Unione di Banche Italiane ScpA and Unipolsai SpA.

The weightings of the shares range from 0.325% to 5%. The calculation agent took the weights of the stocks in the index and reweighted them so that no basket stock was weighted in excess of 5% of the basket. For each basket stock having an initial weight of more than 5%, the excess weight was distributed to each of the other non-capped basket stocks pro rata according to their initial weights such that no basket stock would be greater than 5%.

The payout at maturity will be par plus the basket return. If that return is negative, investors will receive less than par.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Basket-linked notes
Underlying shares:	Assicurazioni Generali SpA (5% weight), Atlantia SpA (5% weight), Banca Monte dei Paschi di Siena SpA (2.138% weight), Banco Popolare (4.274% weight), CNH Industrial (5% weight), Enel Green Power SpA (3.154% weight), Enel SpA (5% weight), Eni SpA (5% weight), Exor SpA (2.605% weight), Fiat SpA (5% weight), Finmeccanica SpA (2.173% weight), Intesa Sanpaolo SpA ordinary shares (4.675% weight), Intesa Sanpaolo SpA savings shares (0.325% weight), Luxottica Group SpA (5% weight), Mediobanca Banca di Credito Finanziario SpA (3.803% weight), Pirelli & C SpA (2.53% weight), Prysmian SpA (2.913% weight), Saipem SpA (4.472% weight), Snam SpA (5% weight), Telecom Italia SpA ordinary shares (3.412% weight), Telecom Italia SpA savings shares (1.588% weight), Tenaris SA (5% weight), Terna Rete Elettrica Nazionale SpA (5% weight), UniCredit SpA (5% weight), Unione di Banche Italiane ScpA (5% weight) and Unipolsai SpA (1.938% weight)
Amount:	$4,546,000
Maturity:	Jan. 13, 2016
Coupon:	0%
Price:	99.4
Payout at maturity:	Par plus basket return with full exposure to losses, if any
Pricing date:	July 8
Settlement date:	July 15
Underwriter:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48127DRS9

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