New Issue: JPMorgan prices $809,000 capped buffered notes linked to three indexes

By Marisa Wong

Morgantown, W.Va., Nov. 24 – JPMorgan Chase & Co. priced $809,000 of 0% capped buffered return enhanced notes due Nov. 24, 2017 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 60% weight, the S&P MidCap 400 index with a 25% weight and the Russell 2000 index with a 15% weight.

If the basket return is positive, the payout at maturity will be par plus 1.15 times the basket return, up to a maximum return of 23%. Investors will receive par if the basket declines by 10% or less and will lose 1% for every 1% that the basket declines beyond 10%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped buffered return enhanced notes
Underlying basket:	S&P 500 index with a 60% weight, S&P MidCap 400 index with a 25% weight and Russell 2000 index with a 15% weight
Amount:	$809,000
Maturity:	Nov. 24, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket return is positive, par plus 1.15 times the basket return, up to a maximum return of 23%; par if the basket declines by 10% or less; 1% loss for every 1% that the basket declines beyond 10%
Initial levels:	2,081.24 for S&P 500, 1,440.50 for S&P MidCap and 1,166.728 for Russell
Pricing date:	Nov. 19
Settlement date:	Nov. 24
Agent:	J.P. Morgan Securities LLC
Fees:	None
Cusip:	48128GDG2

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