New Issue: JPMorgan prices $11.85 million enhanced participation notes linked to index basket

By Toni Weeks

San Luis Obispo, Calif., March 20 – JPMorgan Chase & Co. priced $11.85 million of 0% capped buffered enhanced participation notes due March 24, 2017 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

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.

If the basket return is positive, the payout at maturity will be par plus 1.5 times the basket return, subject to a maximum payout of $1,211.50 per $1,000 principal amount of notes. Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for each 1% decline beyond 10%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped buffered enhanced participation notes
Underlying indexes:	Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix (23% weight), Swiss Market (9% weight) and S&P/ASX 200 (8% weight)
Amount:	$11,848,000
Maturity:	March 24, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 1.5 times the basket return, subject to a maximum return of 21.15%; par if basket falls by up to 10%; 1.1111% loss for each 1% decline beyond 10%
Initial index levels:	3,668.52 for Euro Stoxx 50; 6,945.2 for FTSE 100; 1,582.46 for Topix; 9,256.24 for Swiss Market; 5,842.347 for S&P/ASX 200
Pricing date:	March 18
Settlement date:	March 25
Agent:	J.P. Morgan Securities LLC
Fees:	2%
Cusip:	48125UHS4

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