JPMorgan plans return enhanced notes on Select Sector indexes, S&P

By Marisa Wong

Madison, Wis., Jan. 14 – JPMorgan Chase & Co. plans to price 0% return enhanced notes due Feb. 3, 2016 linked to the capped upside return of an equally weighted basket of three Select Sector indexes and the downside return of the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The 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 the capped upside return plus the downside return. If the upside return is not enough to offset the downside return, this payout will be less than par.

The upside return is 114% of the return of the Select Sector index basket, provided that it will not be less than zero and subject to a cap of 22.8%.

The downside return is equal to the return of the S&P 500, provided that it will not be greater than zero.

The final level of each index will be the average of its closing levels on the five trading days ending Jan. 29, 2016.

J.P. Morgan Securities LLC is the agent.

The notes will price on Jan. 16 and settle on Jan. 22.

The Cusip number is 48127D6C7.

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