By Angela McDaniels
Tacoma, Wash., April 2 – JPMorgan Chase & Co. priced $36.51 million of 0% leveraged notes due Oct. 5, 2016 linked to the ordinary shares of the 23 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 150% of the basket return, subject to a maximum settlement amount of $1,304.50 per $1,000 principal amount of notes. If the basket return is negative, investors will be fully exposed 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, Iberdrola SA, Inditex, International Consolidated Airlines Group SA, Red Electrica Corporacion SA, Repsol SA and Telefonica SA. It also includes Abertis Infraestructuras SA (4.76% weight), ACS Actividades de Construccion y Servicios SA (4.15% weight), Banco Popular Espanol (4.31% weight), Bankia SA (3.78% weight), Bankinter, SA (2.16% weight), Caixabank SA (4.94% weight), Distribuidora Internacional de Alimentacion SA (3.12% weight), Enagas SA (4.15% weight), Ferrovial SA (4.95% weight), Gas Natural SDG SA (4.77% weight), Grifols SA (4.04% weight), Mapfre SA (2.70% weight) and Zardoya Otis SA (2.17% weight).
The basket was selected on Jan. 28 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 Jan. 28 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: | $36,512,000
|
| Maturity: | Oct. 5, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket return is positive, par plus 1.5 times basket return, subject to maximum settlement amount of $1,304.50 for each $1,000 principal amount of notes; full exposure to any basket decline
|
| Pricing date: | March 31
|
| Settlement date: | April 7
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.67%
|
| Cusip: | 48125UKS0
|
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