Published on 3/17/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $5.72 million capped buffered enhanced notes on indexes
By Jennifer Chiou
New York, March 17 – JPMorgan Chase & Co. priced $5,721,000 of 0% capped buffered enhanced participation notes due Sept. 21, 2016 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange.
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.
The payout at maturity will be par plus 1.5 times any gain in the basket, up to a maximum return of $1,221.25 per $1,000 principal amount of notes.
Investors will receive par if the basket falls by up to 5% and will lose 1.0526% for each 1% decline beyond 5%.
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 basket: | Euro Stoxx 50 index (37% weight), FTSE 100 index (23% weight), Topix index (23% weight), the Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight)
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Amount: | $5,721,000
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Maturity: | Sept. 21, 2016
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If basket return is positive, par plus 150% of basket return, with maximum payout of $1,221.25 per $1,000 of notes; par if basket falls by up to 5%; 1.0526% loss for each 1% decline beyond 5%
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Initial index levels: | 3,656.21 for Euro Stoxx, 6,740.58 for FTSE 100, 1,560.33 for Topix, 9,156.02 for Swiss Market and 5,814.543 for S&P/ASX
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Buffer level: | 95% of initial level
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Pricing date: | March 13
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Settlement date: | March 20
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1.34%
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Cusip: | 48125UJD5
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