Published on 3/20/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $11.85 million enhanced participation notes linked to index basket
By Toni Weeks
San Luis Obispo, Calif., March 20 – JPMorgan Chase & Co. priced $11.85 million of 0% capped buffered enhanced participation notes due March 24, 2017 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 1.5 times the basket return, subject to a maximum payout of $1,211.50 per $1,000 principal amount of notes. Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for each 1% decline 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: | $11,848,000
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Maturity: | March 24, 2017
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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 1.5 times the basket return, subject to a maximum return of 21.15%; par if basket falls by up to 10%; 1.1111% loss for each 1% decline beyond 10%
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Initial index levels: | 3,668.52 for Euro Stoxx 50; 6,945.2 for FTSE 100; 1,582.46 for Topix; 9,256.24 for Swiss Market; 5,842.347 for S&P/ASX 200
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Pricing date: | March 18
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Settlement date: | March 25
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Agent: | J.P. Morgan Securities LLC
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Fees: | 2%
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Cusip: | 48125UHS4
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