New Issue: JPMorgan prices $9.37 million capped enhanced participation notes on index basket

By Marisa Wong

Madison, Wis., June 22 – JPMorgan Chase & Co. priced $9.37 million of 0% capped enhanced participation notes due Dec. 22, 2016 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 200% of the basket return, subject to a maximum payout of $1,224 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:	$9,374,000
Maturity:	Dec. 22, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 2 times the basket return, capped at 22.4%; exposure to losses
Initial index levels:	3,450.45 for Euro Stoxx, 6,707.88 for FTSE, 1,616.66 for Topix, 8,880.29 for Swiss Market and 5,524.892 for S&P/ASX
Pricing date:	June 18
Settlement date:	June 25
Agent:	J.P. Morgan Securities LLC
Fees:	1.34%
Cusip:	48125UXG2

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