Product Solution

Quantitative Investment Strategy Index Linked Principal Protected Note

Diversified investment exposure to equity, fixed income, commodity, FX and interest rate	Complementary investment strategies to deliver performance uncorrelated to traditional asset classes	Superior risk-adjusted return with 100% downside protection

Indicative Terms

Issuer	JP Morgan
Product Type	Principal Protection
Structure	Upside Performance Participation
Tenor	27 months
Settlement Cycle	T+14 days
Currency	USD
Principal Protection	100% at maturity
Underlying	JPM Mozaic XRP with 1% Fee Index (BBG: JMAB392E Index)
Maturity Payoff	100% + PR x Max(0, Index Level Final/Initial – 100%)
PR	100%*
Reoffer	98.8%

*Indicative only, subject to the confirmed level on the trade date

Introduction – JPM Mozaic XRP with 1% Fee Index (the “Index”)

 Index Description

• The Index was newly launched in August 2021 and provides equally weighted notional exposure to each of the 4 JPMorgan flagship indices (each a “Sub-Index”).
• The Index strategy aims to achieve optimized & stable risk-adjusted returns by taking advantage of uncorrelated risk factors and performance drivers delivered by underlying sub-indices.

 

 

Index Performance

 

 Introduction to Sub-Indices

1. Sub-Index – JPMorgan Mozaic Jade Index

Please click the following link for further details written in our last publication

(https://extramile.goldhorse.com.hk/news/21021)

 

1. Sub-Index – JPMorgan Helix 3 Index

 

• Go long, short or neutral positions on 4 Euribor futures and 4 Eurodollar futures trackers
• Which directional exposure to take for which future is based on relevant momentum signal 
• Equally weighted index notional exposure to each future tracker with monthly rebalancing

 

 

1. Sub-Index – JPMorgan Bespoke Commodity Index

 

• Go long position on Bloomberg Commodity 1-month Forward Index
• Go short position on Bloomberg Commodity Index (ex-precious metals)
• Earn positive broad-based commodity carry by taking specific commodity forward curvature

 

 

1. Sub-Index – JPMorgan FX Value Index

 

• The index provides investment exposure to G10 currency pairs
• The strategy takes long or short positions on FX pairs that are deemed to be undervalued or overvalued respectively, using Purchasing Power Parity method
• Daily rebalancing with individual FX pair weight being capped at 100% plus global leverage cap at 400%

 

Source: JPM

 

 

 

Chart

Key Risks

• The product is only principal protected if investors hold it until maturity date.
• The product’s mark-to-market is subject to underlying asset’s performance, interest rate risk and issuer’s credit risk etc.
• In the worst-case scenario, investors may experience a total loss of capital in the event of issuer’s default.

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Investment Services – Advisory, Trading & Education

Edward Liu	Head
Tiffany Cheung	Product Specialist
Jenny Luo	Trader
Email	advisory@goldhorse.com.hk