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JPMorgan to price six-year asset allocation notes linked to best-performing portfolio
By Angela McDaniels
Tacoma, Wash., March 3 - JPMorgan Chase & Co. plans to price zero-coupon principal-protected asset allocation notes due March 31, 2014 linked to the best performer of three reference portfolios each comprised of four asset classes, according to an FWP filing with the Securities and Exchange Commission.
The four asset classes are currencies, commodities, equity and debt.
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 S&P 500, Dow Jones Euro Stoxx 50 and Nikkei 225 indexes. The fourth basket includes the JPMorgan GBI Global Bond Total Return index hedged into dollars.
The conservative portfolio has 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 has 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 has 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 final return on the conservative portfolio, balanced portfolio or growth portfolio. Investors will receive at least par.
The final return for each portfolio will equal the portfolio's return three days before maturity multiplied by the participation rate, which is expected to be at least 100% and will be determined at pricing.
The notes are expected to price on March 26 and settle on March 31.
J.P. Morgan Securities Inc. will be the agent.
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