New York, Sept. 9 – JPMorgan Chase & Co. priced $1.43 million of 0% capped contingent buffered equity notes due March 15, 2017 linked to an equally weighted basket of three indexes derived from the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The basket is comprised of the Financials Select Sector index, the Health Care Select Sector index and the Consumer Discretionary Select Sector index.
If the basket ends at a level greater than its starting point the payout will be par plus the basket return capped at 15%.
The payment at maturity will be par if the basket finishes at the starting level or declines by up to 19.5%.
If the decline is greater than 19.5% investors will be exposed to the decline in the basket from its starting level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Capped contingent buffered equity notes
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| Underlying basket: | Financials Select Sector index, Consumer Discretionary Select Sector index and Health Care Select Sector index; equally weighted
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| Amount: | $1.43 million
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| Maturity: | March 15, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus return capped at 15% if basket increases from initial level; par if basket is unchanged or declines by up to 19.5%; full exposure to decline from initial level if basket loses by more than 19.5%; final basket level is average of closing levels on March 6, 7, 8, 9 and 10 of 2017
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| Initial levels: | 225.47 for the Financial Select Sector index, 688.02, for the Health Care Select Sector index and 740.88 for Consumer Discretionary Select Sector index
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| Pricing date: | Sept. 4
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| Settlement date: | Sept. 10
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.25%
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| Cusip: | 48125U3R1
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