JPMorgan to price capped buffered enhanced notes on index basket

By Wendy Van Sickle

Columbus, Ohio, July 5 – JPMorgan Chase Financial Co. LLC plans to price 0% capped buffered enhanced participation notes due Sept. 12, 2018 linked to a basket of five indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

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 1.6 times any basket gain, up to a maximum payout of $1,326.40 to $1,384.00 for each $1,000 principal amount of notes. The exact cap will be set at pricing.

If the basket return is zero or negative but not below negative 15%, the payout will be par.

Otherwise, investors will lose 1.1765% for every 1% decline beyond 15%.

J.P. Morgan Securities LLC is the agent.

The notes will price on July 7 and settle on July 14.

The Cusip number is 46646EMX7.

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