By Susanna Moon
Chicago, May 15 – JPMorgan Chase & Co. priced $1 million of 0% capped notes due June 2, 2016 linked to a weighted basket of three return enhanced components, according to an FWP filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 58% weight, the FTSE 100 index with a 21% weight and the Topix index with a 21% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
If an index finishes above its initial level, its component return will be 1.5 times the return, up to a maximum return of 23.775%.
If the index falls by up to 10%, its component return will be zero.
Otherwise, its component return will be equal to its return.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Capped notes
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| Underlying indexes: | Euro Stoxx 50 (58% weight), FTSE 100 (21% weight) and Topix (21% weight)
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| Amount: | $1 million
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| Maturity: | June 2, 2016
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus the basket return, which be the sum of the weighted component returns of the basket indexes; if an index gains, its component return will be 1.5 times its return, capped at 23.775%; if index falls by up to 10%, its component return will be zero
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| Pricing date: | May 13
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| Settlement date: | May 14
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48125URV6
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