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JPMorgan plans principal-protected asset allocation notes linked to best-performing portfolio
By Jennifer Chiou
New York, Feb. 1 - JPMorgan Chase & Co. plans to price principal-protected asset allocation notes due Feb. 28, 2014 linked to the best performer of three reference portfolios each comprising four asset classes, according to an FWP filing with the Securities and Exchange Commission.
The four asset classes are equity, debt, commodities and currencies.
The first basket includes the British pound, euro and Japanese yen, all against the dollar. The second basket includes the Dow Jones - AIG Commodities Index. The third basket includes the JPMorgan GBI Global Bond Total Return index hedged into dollars while the fourth basket includes the S&P 500, Dow Jones Euro Stoxx 50 and Nikkei 225 indexes.
The conservative portfolio will have a 15% weight in the currency basket, a 10% weight in the commodities index, a 25% weight in the equity basket and a 50% weight in the bond index. The balanced portfolio will have a 10% weight in the currency basket, a 15% weight in the commodities index, a 40% weight in the equity basket and a 35% weight in the bond index. The growth portfolio will have a 5% weight in the currency basket, a 20% weight in the commodities index, a 60% weight in the equity basket and a 15% weight in the bond index.
The payout at maturity will be par plus the greater of the return on the conservative portfolio, the balanced portfolio or growth portfolio times a participation rate that will be at least 100%. Investors will receive at least par.
The notes are expected to price on Feb. 26 and settle on Feb. 29.
J.P. Morgan Securities Inc. is the underwriter.
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