By Toni Weeks
San Luis Obispo, Calif., June 5 – JPMorgan Chase & Co. priced $6.68 million of 0% trigger Performance Leveraged Upside Securities due June 2, 2017 linked to an equally weighted basket of two indexes and an exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the S&P 500 index, the Euro Stoxx 50 index and the WisdomTree Japan Hedged Equity fund.
If the basket return is positive, the payout at maturity will be par plus 200% of the basket gain, subject to a maximum payment of $12.60 per $10.00 note.
If the final basket level is greater than or equal to the trigger level, 80% of the initial level, the payout will be par.
Otherwise, investors will be fully exposed to the basket decline.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Trigger Performance Leveraged Upside Securities
|
| Underlying basket: | S&P 500 index, Euro Stoxx 50 index and WisdomTree Japan Hedged Equity fund
|
| Amount: | $6,681,430
|
| Maturity: | June 2, 2017
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| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par plus two times any basket gain, up to a maximum payment of $12.60 per note; par if basket falls by up to 20% and full exposure to losses if basket drops below trigger level
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| Initial levels: | 1,923.57 for S&P, 3,244.6 for Euro Stoxx, $47.82 for WisdomTree Japan
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| Initial basket level: | 100
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| Trigger level: | 80% of initial basket level
|
| Pricing date: | May 30
|
| Settlement date: | June 4
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC
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| Fees: | 3%
|
| Cusip: | 48127F293
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