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JPMorgan plans relative value notes linked to index basket vs. S&P 500
By Susanna Moon
Chicago, Jan. 15 – JPMorgan Chase & Co. plans to price 0% relative value notes due Feb. 3, 2016 linked to the capped upside return of a basket of indexes and the downside return of the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The equally weighted basket consists of the Financial Select Sector index, the Health Care Select Sector index and the Consumer Discretionary Select Sector index.
The payout at maturity will be par plus 1.14 times any basket gain, up to a maximum return of 22.8%.
Investors will be exposed to any losses of S&P 500 index.
J.P. Morgan Securities LLC is the underwriter.
The notes will price on Jan. 16 and settle on Jan. 22.
The Cusip number is 48127D6C7.
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