New Issue: JPMorgan prices $21.54 million leveraged buffered notes linked to MSCI Spain 25/50 companies

By Angela McDaniels

Tacoma, Wash., Oct. 24 – JPMorgan Chase & Co. priced $21.54 million of 0% leveraged buffered notes due April 27, 2016 linked to the 22 ordinary shares included in the MSCI Spain 25/50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes unequal weights of Abertis Infraestructuras SA, ACS Actividades de Construccion y Servicios SA, Amadeus IT Holding SA, Banco Bilbao Vizcaya Argenta, Banco De Sabadell SA, Banco Popular Espanol, Banco Santander SA, Bankia SA, Caixabank SA, Distribuidora Internacional de Alimentacion SA, Enagas SA, Ferrovial SA, Gas Natural SDG SA, Grifols SA, Iberdrola SA, Inditex, International Consolidated Airlines Group SA, Mapfre SA, Red Electrica Corporacion SA, Repsol SA, Telefonica SA, Zardoya Otis SA.

The basket was selected on Oct. 8 and includes all of the constituents of the index at that time. To determine the initial weights of each stock, the calculation agent began with the weights of the 22 companies in the index as of Oct. 8 and then reweighted each of the stocks so that no stock was weighted in excess of 5% of the basket. For each stock having an initial weight of more than 5%, the excess weight was distributed to each of the other non-capped stocks pro rata according to their initial weights.

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 $1,180 for each $1,000 principal amount of notes. Investors will receive par if the basket declines by 5% or less and will lose 1.0526% for every 1% that it declines beyond 5%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Leveraged buffered notes
Underlying shares:	Abertis Infraestructuras SA (4.842% weight), ACS Actividades de Construccion y Servicios SA (4.514% weight), Amadeus IT Holding SA (5% weight), Banco Bilbao Vizcaya Argenta (5% weight), Banco De Sabadell SA (5% weight), Banco Popular Espanol (5% weight), Banco Santander SA (5% weight), Bankia SA (5% weight), Caixabank SA (5% weight), Distribuidora Internacional de Alimentacion SA (3.498% weight), Enagas SA (4.464% weight), Ferrovial SA (4.720% weight), Gas Natural SDG SA (5% weight), Grifols SA (4.001% weight), Iberdrola SA (5% weight), Inditex (5% weight), International Consolidated Airlines Group SA (3.727% weight), Mapfre SA (2.856% weight), Red Electrica Corporacion SA (5% weight), Repsol SA (5% weight), Telefonica SA (5% weight) and Zardoya Otis SA (2.378% weight)
Amount:	$21,543,000
Maturity:	April 27, 2016
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 $1,180 for each $1,000 principal amount of notes; par if basket declines by 5% or less; 1.0526% loss for every 1% that basket declines beyond 5%
Pricing date:	Oct. 22
Settlement date:	Oct. 29
Agent:	J.P. Morgan Securities LLC
Fees:	1.7%
Cusip:	48127DL97

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