New Issue: JPMorgan prices $36.24 million capped enhanced participation notes on index basket

By Marisa Wong

Madison, Wis., April 2 – JPMorgan Chase & Co. priced $36.24 million of 0% capped enhanced participation notes due April 6, 2017 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes 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 300% of the basket return, subject to a maximum payout of $1,289.50 for each $1,000 principal amount of notes. Investors will be fully exposed to any losses if the basket declines.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped 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:	$36,237,000
Maturity:	April 6, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 3 times the basket return, capped at 28.95%; exposure to losses
Initial index levels:	3,697.38 for Euro Stoxx, 6,773.04 for FTSE, 1,543.11 for Topix, 9,128.98 for Swiss Market and 5,891.505 for S&P/ASX
Pricing date:	March 31
Settlement date:	April 8
Agent:	J.P. Morgan Securities LLC
Fees:	2%
Cusip:	48125UKR2

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