New Issue: JPMorgan prices $2.86 million capped buffered equity notes on index, ETF basket

By Marisa Wong

Madison, Wis., Sept. 9 – JPMorgan Chase & Co. priced $2.86 million of 0% capped buffered equity notes due Sept. 9, 2016 linked to a basket consisting of the S&P 500 index with a 50% weight, the Euro Stoxx 50 index with a 30% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 20% weight, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus any basket gain, up to a maximum return of 18%.

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

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped buffered equity notes
Underlying basket:	S&P 500 index (50% weight), Euro Stoxx 50 index (30% weight), iShares MSCI Emerging Markets ETF (20% weight)
Amount:	$2,864,000
Maturity:	Sept. 9, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any basket gain, capped at 18%; par if basket falls by up to 15%; 1.1765% loss for every 1% decline beyond 15%
Initial levels:	2,007.71 for S&P, 3,275.25 for Euro Stoxx, $45.85 for ETF
Pricing date:	Sept. 5
Settlement date:	Sept. 10
Agent:	J.P. Morgan Securities LLC
Fees:	0.2483%
Cusip:	48127DZC5

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