By Jennifer Chiou
New York, July 30 - JPMorgan Chase & Co. priced $2.92 million of 0% principal-protected asset allocation notes due July 31, 2014 linked to the best performer of three reference portfolios each comprising four asset classes, according to a 424B2 filing with the Securities and Exchange Commission.
The four asset classes are currencies, commodities, debt and equity.
The currency basket consists of the British pound, euro and Japanese yen, all against the dollar. The commodity basket contains the Dow Jones - AIG Commodities index. The debt basket has the JPMorgan GBI Global Bond Total Return index hedged into dollars. The equity basket comprises 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.
Payout at maturity will be par plus 105% of any gain on the best-performing portfolio. Investors will receive at least par.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Principal-protected asset allocation notes
|
| Underlying portfolios: | Conservative, balanced and growth portfolios containing different weights of currency basket (British pound, euro and yen, against dollar), commodity basket (Dow Jones - AIG Commodities index), debt basket (JPMorgan GBI Global Bond Total Return index hedged into dollars) and equity basket (S&P 500 index, Dow Jones Euro Stoxx 50 index and Nikkei 225 index)
|
| Amount: | $2,924,000
|
| Maturity: | July 31, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 105% of any gain on best-performing portfolio; floor of par
|
| Pricing date: | July 28
|
| Settlement date: | July 31
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 7%, including 3% to 4.592% for selling concessions
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