By Marisa Wong
Madison, Wis., Dec. 26 – JPMorgan Chase & Co. priced $836,000 of 0% capped buffered enhanced participation notes due June 23, 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 a 8% weight.
The payout at maturity will be par plus 1.5 times any gain in the basket, up to a maximum return of 19.05%.
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 basket: | Euro Stoxx 50 index (37% weight), the FTSE 100 index (23% weight), the Topix index (23% weight), the Swiss Market index (9% weight) and the S&P/ASX 200 index (8% weight)
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Amount: | $836,000
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Maturity: | June 23, 2016
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 150% of any basket gain, capped at 19.05%; par if basket falls by up to 10%; 1.1111% loss per 1% drop beyond 10%
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Buffer level: | 90% of initial level
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Pricing date: | Dec. 19
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Settlement date: | Dec. 29
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Agent: | J.P. Morgan Securities LLC
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Fees: | None
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Cusip: | 48127D3U0
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