JPMorgan plans capped contingent buffered notes linked to currencies

By Angela McDaniels

Tacoma, Wash., May 17 – JPMorgan Chase & Co. plans to price 0% capped contingent buffered notes due Dec. 21, 2018 linked to the performance of four currencies relative to the Japanese yen, according to a 424B2 filing with the Securities and Exchange Commission.

The equally weighted currency basket includes the Brazilian real, the Indonesian rupiah, the Indian rupee and the Turkish lira.

The basket return will be positive if the basket appreciates relative to the yen, and the basket return will be negative if the basket depreciates. In no event will any reference currency return be greater than 100% and, accordingly, the basket return will not be greater than 100%. As a result, the payment at maturity cannot be greater than $2,000 per $1,000 principal amount of notes.

If the basket return is positive or zero or the basket return is negative but is greater than or equal to negative 40%, the payout at maturity will be par plus the greater of the basket return and the contingent minimum return, which is expected to be at least 25% and will be set at pricing. If the basket return is less than negative 40%, investors will be fully exposed to the basket’s decline from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price May 18.

The Cusip number is 48128GYE4.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.