Published on 2/4/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $4.11 million buffered enhanced participation notes linked to indexes
By Angela McDaniels
Tacoma, Wash., Feb. 4 – JPMorgan Chase & Co. priced $4.11 million of 0% capped buffered enhanced participation notes due Feb. 1, 2018 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.
If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, subject to a maximum payout of $1,275.25 for each $1,000 principal amount of notes. Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for each 1% that it declines beyond 10%.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Capped buffered enhanced participation notes
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Underlying indexes: | Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix (23% weight), Swiss Market (9% weight) and S&P/ASX 200 (8% weight)
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Amount: | $4,107,000
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Maturity: | Feb. 1, 2018
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 150% of any gain in basket, capped at 27.525%; par if basket falls by 10% or less; 1.1111% loss for every 1% that basket declines beyond 10%
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Initial index levels: | 3,045.09 for Euro Stoxx 50, 6,083.79 for FTSE 100, 1,432.07 for Topix, 8,319.81 for Swiss Market and 5,005.524 for S&P/ASX 200
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Pricing date: | Jan. 29
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Settlement date: | Feb. 5
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Agent: | J.P. Morgan Securities LLC
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Fees: | 2%
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Cusip: | 48128GKK5
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