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JPMorgan to price return notes linked to Bloomberg Commodity 3 Month Forward Total Return
By Toni Weeks
San Luis Obispo, Calif., Nov. 19 – JPMorgan Chase & Co. plans to price 0% return notes due Nov. 25, 2016 linked to the Bloomberg Commodity Index 3 Month Forward Total Return, according to an FWP with the Securities and Exchange Commission.
The index is a version of the Bloomberg Commodity index that trades longer-dated commodity futures contracts, with the delivery months for the reference contracts three months later than those of the reference contracts used for the Bloomberg Commodity. The index is composed of exchange-traded futures contracts on physical commodities and is designed to be a diversified benchmark for commodities as an asset class, with component weightings determined primarily based on liquidity data.
The payout at maturity will be the indicative note price as of the final observation date, subject to a floor of zero.
The indicative note price of each $1,000 principal amount of notes will be $1,000 on the inception date. On each subsequent observation date, the indicative note price is equal to (i) the indicative note price as of the immediately preceding observation date multiplied by (ii) the index factor as of that observation date minus (iii) the investor fee as of that observation date.
The investor fee on any observation date is equal to 0.75% times (a) the indicative note price as of the immediately preceding observation date times (b) the number of calendar days from and including the immediately preceding observation date to and excluding that observation date divided by 360.
The index factor on any observation date is equal to the closing level of the index on that date divided by the closing level of the index on the immediately preceding observation date.
The notes (Cusip: 48127DPJ1) will price Nov. 21 and settle Nov. 26.
J.P. Morgan Securities LLC is the agent.
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