New Issue: JPMorgan prices $861,000 buffered return enhanced notes linked to basket

By Angela McDaniels

Tacoma, Wash., Oct. 7 – JPMorgan Chase & Co. priced $861,000 of 0% capped buffered return enhanced notes due Oct. 5, 2017 linked to a basket consisting of the S&P 500 index with a 50% weight, the Euro Stoxx 50 index with a 35% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 15% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket return is positive, the payout at maturity will be par plus 1.75 times the basket return, up to a maximum return of 18.5%. Investors will receive par if the basket declines by 18% or less and will lose 1.2195% for every 1% that the basket declines beyond 18%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped buffered return enhanced notes
Underlying basket:	S&P 500 index (50% weight), Euro Stoxx 50 index (35% weight) and iShares MSCI Emerging Markets ETF (15% weight)
Amount:	$861,000
Maturity:	Oct. 5, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.75 times any basket gain, capped at 18.5%; par if basket declines by 18% or less; 1.2195% loss for every 1% that basket declines beyond 18%
Initial levels:	1,923.82 for S&P 500, 3,069.05 for Euro Stoxx 50 and $32.96 for ETF
Pricing date:	Oct. 1
Settlement date:	Oct. 6
Agent:	J.P. Morgan Securities LLC
Fees:	0.4%
Cusip:	48125U7E6

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