By Angela McDaniels
Tacoma, Wash., April 29 - JPMorgan Chase & Co. priced $1.33 million of 0% return notes due July 31, 2014 linked to the J.P. Morgan Strategic Volatility index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the index return, which could be positive or negative.
Holders can request that the company repurchase their notes early. The payout will be par plus the index return minus a 0.5% repurchase fee. The issuer said it intends to accept all requests for repurchase but is not obligated to do so.
The index is a synthetic, dynamic strategy that aims to reflect flat to positive sensitivity to the volatility of large-cap U.S. stocks by replicating the returns from combining a fixed long position and a contingent, scaled short position in futures contracts on the CBOE Volatility index, or VIX index, where the synthetic long position and, when activated, the synthetic short position are rolled throughout each month.
The synthetic long position rolls throughout each month from the second-month VIX futures contract into the third-month VIX futures contract. When activated, the synthetic short position rolls throughout each month from the first-month VIX futures contract into the second-month VIX futures contract.
The index is rebalanced daily, and the index level incorporates a daily deduction of an index fee of 0.75% per year and a daily rebalancing adjustment amount that is equal to the sum of (a) a rebalancing adjustment factor of between 0.2% and 0.5% per day, depending on the level of the VIX index, applied to the aggregate notional amount of each of the VIX futures contracts hypothetically traded that day and (b) an additional amount equal to 0.2% and 0.5% per day, depending on the level of the VIX index, applied to the amount of the change, if any, in the level of the exposure to the synthetic short position.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | J.P. Morgan Strategic Volatility index
|
| Amount: | $1,325,000
|
| Maturity: | July 31, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus index return
|
| Repurchase option: | Holders can request that their notes be repurchased early at par plus index return minus 0.5% repurchase fee
|
| Initial index level: | 493.4
|
| Pricing date: | April 25
|
| Settlement date: | April 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5% for $351,000 of notes, 0.25% for remaining notes; fees for $371,000 of notes will be used to allow selling concessions
|
| Cusip: | 48126DH44
|
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