New Issue: JPMorgan prices $86.63 million leveraged buffered notes linked to MSCI Spain 25/50 companies

By Angela McDaniels

Tacoma, Wash., May 1 – JPMorgan Chase & Co. priced $86.63 million of 0% leveraged buffered notes due May 3, 2018 linked to the ordinary shares of the 23 companies included in the MSCI Spain 25/50 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, subject to a maximum settlement amount of $1,480 per $1,000 principal amount of notes. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

The basket was selected on Jan. 28 and includes all of the constituents of the index at that time. To determine the initial weight of each stock, the calculation agent began with the weights of the 23 companies in the index as of Jan. 28 and then reweighted each of the stocks so that no stock was weighted in excess of 5% of the basket. For each stock having an initial weight of more than 5%, the excess weight was distributed to each of the other non-capped stocks pro rata according to their initial weights.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Leveraged buffered notes
Underlying basket:	Amadeus IT Holding SA (5% weight), Banco Bilbao Vizcaya Argenta (5% weight), Banco De Sabadell SA (5% weight), Banco Santander SA (5% weight), Iberdrola SA (5% weight), Inditex (5% weight), International Consolidated Airlines Group SA (5% weight), Red Electrica Corporacion SA (5% weight), Repsol SA (5% weight), Telefonica SA (5% weight), Abertis Infraestructuras SA (4.76% weight), ACS Actividades de Construccion y Servicios SA (4.15% weight), Banco Popular Espanol (4.31% weight), Bankia SA (3.78% weight), Bankinter, SA (2.16% weight), Caixabank SA (4.94% weight), Distribuidora Internacional de Alimentacion SA (3.12% weight), Enagas SA (4.15% weight), Ferrovial SA (4.95% weight), Gas Natural SDG SA (4.77% weight), Grifols SA (4.04% weight), Mapfre SA (2.70% weight) and Zardoya Otis SA (2.17% weight)
Amount:	$86,628,000
Maturity:	May 3, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 1.5 times basket return, subject to maximum settlement amount of $1,480 for each $1,000 principal amount of notes; par if basket declines by 10% or less; 1.1111% loss for every 1% that basket declines beyond 10%
Pricing date:	April 29
Settlement date:	May 6
Agent:	J.P. Morgan Securities LLC
Fees:	2.2%
Cusip:	48125UNW8

© 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.