Published on 1/7/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.5 million capped buffered notes on index, ETF basket
By Marisa Wong
Morgantown, W.Va., Jan. 7 – JPMorgan Chase & Co. priced $1.5 million of 0% capped buffered return enhanced notes due April 3, 2018 linked to a weighted basket of seven indexes and one exchange-traded fund, according to a 424B2 filed with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 20% weight, the FTSE 100 index with a 15% weight, the Topix index with a 15% weight, the Hang Seng index with a 10% weight, the Korea Stock Price index 200 with a 10% weight, the Taiwan Stock Exchange Capitalization Weighted Stock index with a 10% weight; the Swiss Market index with a 10% weight and the WisdomTree India Earnings fund with a 10% weight.
The payout at maturity will be par plus 1.25 times any basket gain, subject to a maximum return of 37.5%.
Investors will receive par if the basket falls by up to 15% and will lose 1.1765% for every 1% decline beyond the 15% buffer.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped buffered return enhanced notes
|
| Underlying basket: | Euro Stoxx 50 index with a 20% weight, the FTSE 100 index with a 15% weight, the Topix index with a 15% weight, the Hang Seng index with a 10% weight, the Korea Stock Price index 200 with a 10% weight, the Taiwan Stock Exchange Capitalization Weighted Stock index with a 10% weight; the Swiss Market index with a 10% weight and the WisdomTree India Earnings fund with a 10% weight
|
| Amount: | $1.5 million
|
| Maturity: | April 3, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the basket return is positive, par plus 1.25 times the basket return, up to a maximum return of 37.5%; par if the basket declines by 15% or less; 1.1765% loss for every 1% that the basket declines beyond 15%
|
| Initial levels: | 6,314.57 for FTSE (not the closing index level on pricing date); 3,256.49 for Euro Stoxx; 1,529.22 for Topix; 21,919.62 for Hang Seng; 241.79 for Kospi; 8,358.49 for Taiwan; 8,739.36 for Swiss Market; and $19.90 for fund
|
| Pricing date: | Dec. 28
|
| Settlement date: | Dec. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48128GGL8
|
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