JPMorgan plans return notes linked to Long Equity Dynamic Overlay 80

By Marisa Wong

Madison, Wis., Feb. 4 – JPMorgan Chase & Co. plans to price 0% return notes due March 31, 2016 linked to the J.P. Morgan U.S. Long Equity Dynamic Overlay 80 Index (Series 1), according to an FWP with the Securities and Exchange Commission.

The payout at maturity will be par plus the index return, which could be positive or negative.

The index is designed to provide a synthetic long position in the S&P 500 and limited downside protection against adverse movements of the S&P 500 through a synthetic collar strategy as an overlay to the synthetic long position in the S&P 500.

The index is subject to three types of fees and deductions:

• On each day, the calculation of the index reflects the deduction of an adjustment factor of 0.75% per year;

• On a monthly or quarterly basis, as applicable, when the index’s synthetic short call or long put exposure, as applicable, is rolled into a new option contract on the S&P 500 index, a call deduction or put deduction, as applicable, is subtracted in the calculation of the index. The call deduction or put deduction is calculated by multiplying (a) the applicable volatility spread (which is between 0.3% and 3.0%) by (b) the vega of the applicable option contract, subject to certain minimum and maximum amounts. The applicable volatility spread depends on the level of the CBOE Volatility index on the relevant date of determination; and

• On each day the delta hedge is implemented, 0.03% of any increase or decrease in the index’s exposure to the futures contracts on the S&P 500 is deducted in the calculation of the index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 24 and settle on Feb. 27.

The Cusip number is 48125UAZ5.

© 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.