Published on 5/11/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $4.28 million capped buffered enhanced notes on index basket
By Wendy Van Sickle
Columbus, Ohio, May 11 – JPMorgan Chase & Co. priced $4.28 million of 0% capped buffered enhanced participation notes due May 11, 2018 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of 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 3 times the basket return, subject to a maximum settlement of $1,222 per $1,000 principal amount.
If the basket falls by up to 10%, the payout at maturity will be par. Otherwise, investors will lose 1.1111% for every 1% decline beyond the buffer.
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% initial weight), FTSE 100 (23% initial weight), Tokyo Stock Price index (23% initial weight), Swiss Market (9% initial weight) and S&P/ASX 200 (8% initial weight)
|
| Amount: | $4,275,000
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| Maturity: | May 11, 2018
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| Coupon: | 0%
|
| Price: | Par of $1,000
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| Payout at maturity: | Par plus 3 times any basket gain up to $1,222 maximum payout per note; par if basket falls by up to 10%; 1.1111% loss for each 1% basket decline beyond 10%
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| Initial levels: | 2,936.84 for Euro Stoxx, 6,125.70 for FTSE, 1,298.32 for Tokyo, 7,735.60 for Swiss Market and 5,292.046 for S&P/ASX
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| Pricing date: | May 6
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| Settlement date: | May 13
|
| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 48128GWQ9
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