New York, June 9 – JPMorgan Chase & Co. priced $530,000 million of 0% capped buffered return enhanced notes due June 12, 2018 linked to a basket of two indexes and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 40% weight, the Russell 2000 index with a 30% weight and the iShares MSCI EAFE exchange-traded fund, also with a 30% weight.
If the basket return is positive, the payout at maturity will be par plus 1.5 times the basket return, subject to a maximum payment of par plus 15.5%.
If the basket falls by up to 15%, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline beyond the buffer.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Capped buffered return enhanced notes
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| Underlying assets: | S&P 500 index (40% weight), Russell 2000 index (30% weight), iShares MSCI EAFE exchange-traded fund (30% weight)
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| Amount: | $530,000
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| Maturity: | June 12, 2018
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | Par plus 1.5 times any basket gain up to maximum payout of par plus 15.5%; par if basket falls by up to 15%; 1% loss for each 1% basket decline beyond 15%
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| Pricing date: | June 7
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| Settlement date: | June 10
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.65%
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| Cusip: | 46646EGD8
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