By Toni Weeks
San Luis Obispo, Calif., Jan. 27 – JPMorgan Chase & Co. priced $1.82 million of 0% relative value notes due Feb. 10, 2016 linked to the capped upside return of a basket of indexes and the downside return of the S&P 500 index, according to a 424B2 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 1.155 times any basket gain, up to a maximum return of 23.1%.
Investors will be exposed to any losses of the S&P 500 index.
For each index, the final index value will be the average of that index’s levels on the five trading days ending Feb. 5, 2016.
J.P. Morgan Securities LLC is the underwriter.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Relative value notes
|
| Underlying basket: | Financial Select Sector index, the Health Care Select Sector index and the Consumer Discretionary Select Sector index, equally weighted
|
| Underlying index: | S&P 500 index
|
| Amount: | $1,815,000
|
| Maturity: | Feb. 10, 2016
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus 1.1155 times any basket gain, capped at 23.1%; exposure to any losses of S&P 500 index
|
| Initial basket level: | 100
|
| Initial index level: | 2,051.82 (S&P 500)
|
| Pricing date: | Jan. 23
|
| Settlement date: | Jan. 28
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48127D6T0
|
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