By Toni Weeks
San Diego, Nov. 1 - JPMorgan Chase & Co. priced $10.76 million of 0% buffered return enhanced notes due Nov. 15, 2012 linked to a basket of five Asian indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket components are the Hang Seng China Enterprises index with a 21% weight, the Korea Composite Stock Price index 200 with a 25% weight, the MSCI Taiwan index with a 20% weight, the Hang Seng index with a 25% weight and the MSCI Singapore index with a 9% weight.
The related currencies are the Hong Kong dollar for the Hang Seng China Enterprises and Hang Seng indexes, the Korean won for the Kospi 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore.
Each index was converted into dollars from its related currency on the pricing date. For each index, the final index level will be the average of that index's converted levels on the five trading days ending Nov. 9, 2012.
The payout at maturity will be par plus double any basket gain, subject to a cap of 15.6%. Investors will receive par if the basket declines by up to 10% and will lose 1.1111% for every 1% that it declines beyond 10%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Hang Seng China Enterprises index (21% weight), Kospi 200 index (25% weight), MSCI Taiwan index (20% weight), Hang Seng index (25% weight) and MSCI Singapore index (9% weight); related currencies are Hong Kong dollar, Korean won, Taiwan dollar and Singapore dollar
|
| Amount: | $10,764,000
|
| Maturity: | Nov. 15, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to cap of 15.6%; par if basket falls by up to 10%; 1.1111% loss for every 1% that basket declines beyond 10%
|
| Initial converted levels: | 1,368.52061 for Hang Seng China Enterprises; 2,578.47811 for Hang Seng; 0.22847 for Kospi; 268.36363 for MSCI Singapore; 9.04251 for MSCI Taiwan
|
| Initial spot rates: | 0.12880 for Hong Kong dollar; 0.00090494 for Korean won; 0.033492 for Taiwan dollar; 0.80580 for Singapore dollar
|
| Pricing date: | Oct. 28
|
| Settlement date: | Nov. 2
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125X7M2
|
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