By Wendy Van Sickle
Columbus, Ohio, Nov. 22 – JPMorgan Chase Financial Co. LLC priced $405,000 0% relative value return enhanced notes due Dec. 6, 2017 linked to the capped upside return of a basket of equally weighted indexes and the downside return of the S&P 500 index, according to an FWP with the Securities and Exchange Commission.
The basket consists of the Health Care Select Sector SPDR fund, the Industrial Select Sector SPDR fund and the Financial Select Sector SPDR fund.
The payout at maturity will be par plus 1.25 times any basket gain, up to a maximum return of 18.75%.
Investors will be exposed to any losses of S&P 500 index.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the underwriter.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Relative value notes
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| Underlying basket: | Health Care Select Sector SPDR fund, Industrial Select Sector SPDR fund and Financial Select Sector SPDR fund, equally weighted
|
| Underlying index: | S&P 500 index
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| Amount: | $405,000
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| Maturity: | Dec. 6, 2017
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus 1.25 times any basket gain, capped at 18.75%; exposure to any losses of S&P 500 index
|
| Initial basket level: | 100
|
| Initial index level: | 2,181.90 (S&P 500)
|
| Pricing date: | Nov. 18
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| Settlement date: | Nov. 23
|
| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
|
| Cusip: | 46646QAK1
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