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JPMorgan to price capped enhanced participation notes on index basket
By Toni Weeks
San Luis Obispo, Calif., Feb. 20 – JPMorgan Chase & Co. plans to price 0% capped enhanced participation notes due April 6, 2017 linked to a basket of unequally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket is comprised 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 final basket level is greater than the initial level, the payout at maturity will be par plus 300% of the basket return, subject to a maximum settlement amount of $1,300 to $1,352.50 per $1,000 principal amount of notes. The exact participation rate will be set at pricing.
Investors will be fully exposed to any decline in the basket.
The notes (Cusip: 48125UFB3) will price Feb. 27 and settle March 6.
J.P. Morgan Securities LLC is the agent.
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