By Marisa Wong
Madison, Wis., Dec. 26 – JPMorgan Chase & Co. priced $1.5 million of 0% autocallable contingent buffered return enhanced notes due Dec. 22, 2017 linked to the Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a call return of 15.15% on Dec. 28, 2015 if the closing price is greater than or equal to the initial level.
If the notes are not called and the final share price is greater than the initial price, the payout at maturity will be par plus 1.55 times the fund return.
Investors will receive par if the shares fall by up to 25% and will lose 1% for each 1% drop beyond the initial price if the fund finishes below the 75% buffer level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent buffered return enhanced notes
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| Underlying stock: | Energy Select Sector SPDR fund
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| Amount: | $1.5 million
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| Maturity: | Dec. 22, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If fund return is positive, par plus 1.55 times fund return; par if shares fall by up to 25%; full exposure to losses from initial level if share price falls by more than 25%
|
| Call: | At par plus 15.15% if closing price is greater than or equal to initial price on Dec. 28, 2015
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| Initial price: | $80.57
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| Buffer amount: | 25%
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| Pricing date: | Dec. 19
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| Settlement date: | Dec. 24
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| Agent: | JPMorgan Securities LLC
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| Fees: | 0.6%
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| Cusip: | 48127D4F2
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