New Issue: JPMorgan prices $5.3 million capped buffered enhanced notes on indexes

By Jennifer Chiou

New York, March 17 – JPMorgan Chase & Co. priced $5.3 million of 0% capped buffered enhanced participation notes due Sept. 21, 2016 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange.

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.

The payout at maturity will be par plus 1.5 times any gain in the basket, up to a maximum return of $1,221.25 per $1,000 principal amount of notes.

Investors will receive par if the basket falls by up to 5% and will lose 1.0526% for each 1% decline beyond 5%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped buffered enhanced participation notes
Underlying basket:	Euro Stoxx 50 index (37% weight), FTSE 100 index (23% weight), Topix index (23% weight), the Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight)
Amount:	$5.3 million
Maturity:	Sept. 21, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 150% of basket return, with maximum payout of $1,221.25 per $1,000 of notes; par if basket falls by up to 5%; 1.0526% loss for each 1% decline beyond 5%
Initial index levels:	3,656.21 for Euro Stoxx, 6,740.58 for FTSE 100, 1,560.33 for Topix, 9,156.02 for Swiss Market and 5,814.543 for S&P/ASX
Buffer level:	95% of initial level
Pricing date:	March 13
Settlement date:	March 20
Agent:	J.P. Morgan Securities LLC
Fees:	1.34%
Cusip:	48125UJL7

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