By Marisa Wong
Madison, Wis., Jan. 10 - JPMorgan Chase & Co. priced $500,000 of 0% notes due Jan. 12, 2018 linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD), according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus 105% of the index return, subject to a minimum payout of par.
The index tracks the return of 26 alternative investment strategies and is based on the theory that returns may be generated from capturing inefficiencies or trends in market prices of multiple asset classes. The index rebalances monthly and seeks to cap its target volatility at 5%.
The index level will reflect a deduction of 0.8% per year as an adjustment factor.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Notes
|
| Underlying index: | J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
| Amount: | $500,000
|
| Maturity: | Jan. 12, 2018
|
| Coupon: | 0%
|
| Price: | Par of $1,000
|
| Payout at maturity: | Par plus 105% of index return, subject to a minimum payout of par
|
| Initial level: | 98.53
|
| Pricing date: | Jan. 8
|
| Settlement date: | Jan. 14
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48126NU21
|
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