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JPMorgan plans buffered enhanced participation currency basket-linked notes
By Tali Rackner
Norfolk, Va., Aug. 10 – JPMorgan Chase & Co. plans to price 0% buffered enhanced participation currency basket-linked notes due Feb. 15, 2018, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the euro/U.S. dollar exchange rate (33.5% initial weight), dollar/Japanese yen exchange rate (25.3% initial weight), British pound sterling/dollar exchange rate (22.9% initial weight), dollar/Swiss franc exchange rate (10.8% initial weight) and Australian dollar/dollar exchange rate (7.5% initial weight).
If the basket finishes at or above 105% of the initial level, the payout at maturity will be par plus (a) 1.375 times to 1.6 times any basket gain times (b) the basket return minus 5%, up to a maximum amount that is expected to be between $2,306.25 and $2,520.
If the basket gains by less than 5% or falls by up to the 10% buffer amount, the payout will be par.
If the basket falls by more than 10%, investors will lose 1.1111 times the amount by which the basket falls by more than the 10% buffer.
J.P. Morgan Securities LLC is the agent.
The notes will price Aug. 11 and settle Aug. 18.
The Cusip number is 48125UUD2.
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