By Angela McDaniels
Tacoma, Wash., Aug. 7 – JPMorgan Chase & Co. priced $30.1 million of 0% leveraged notes due Sept. 9, 2016 linked to the ordinary shares of the 23 Spanish 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 114% of the basket return. If the basket return is negative, investors will have full exposure to the decline.
The basket includes the following shares with a 5% weight each: Amadeus IT Holding SA, Banco Bilbao Vizcaya Argenta, Banco De Sabadell SA, Banco Santander SA, Ferrovial SA, Iberdrola SA, Inditex, International Consolidated Airlines Group SA, Repsol SA and Telefonica SA. It also includes Red Electrica Corporacion SA (4.95% weight), Caixabank SA (4.81% weight), Banco Popular Espanol (4.5% weight), Gas Natural SDG SA (4.49% weight), ACS Actividades de Construccion y Servicios SA (4.4% weight), Bankia SA (3.8% weight), Grifols SA (3.88% weight), Enagas SA (3.84% weight), Distribuidora Internacional de Alimentacion SA (3.24% weight), Mapfre SA (2.78% weight), Zardoya Otis SA (2.35% weight) and Bankinter, SA (2.3% weight).
The basket was composed on Feb. 19 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 Feb. 19 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 notes
|
| Underlying basket: | The ordinary shares of the 23 companies included in the MSCI Spain 25/50 index
|
| Amount: | $30,097,000
|
| Maturity: | Sept. 9, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket return is positive, par plus 114% of basket return; full exposure to any basket decline
|
| Pricing date: | Aug. 5
|
| Settlement date: | Aug. 12
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 48125UD41
|
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