New Issue: JPMorgan sells $3.66 million capped buffered enhanced notes on indexes

By Devika Patel

Knoxville, Tenn., Feb. 25 – JPMorgan Chase & Co. priced $3.66 million of 0% capped buffered enhanced participation notes due July 27, 2017 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 payout of $1,207 for every $1,000 of notes.

Investors will receive par if the basket falls by up to 15% and will lose 1.1765% for each 1% decline beyond 15%.

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:	$3,664,000
Maturity:	July 27, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 150% of any basket gain, capped at $1,207 per $1,000 of notes; par if basket falls by up to 15%; 1.1765% loss per 1% drop beyond 15%
Initial levels:	2,887.38 for Euro Stoxx 50, 5,962.31 for FTSE 100, 1,291.17 for Topix, 7,807.01 for Swiss Market and 4,979.588 for S&P/ASX 200
Buffer level:	85% of initial level
Pricing date:	Feb. 23
Settlement date:	March 1
Agent:	J.P. Morgan Securities LLC
Fees:	None
Cusip:	48128GNT3

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