By Angela McDaniels
Tacoma, Wash., Oct. 12 - JPMorgan Chase & Co. priced $20.13 million of 0% notes due Oct. 24, 2012 linked to a weighted basket of three buffered return enhanced components, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 53% weight, the FTSE 100 index with a 24% weight and the Topix index with a 23% weight.
The initial level of each index was converted into dollars from its underlying currency, which is the euro for the Euro Stoxx 50, the British pound sterling for the FTSE 100 and the Japanese yen for the Topix index.
The final level of each index will be the average of its converted closing levels on the five trading days ending Oct. 19, 2012.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
If an index's final level is greater than its initial level, its component return will be double the underlying return, subject to a maximum return of 34.96% for the Euro Stoxx 50, 23.48% for the FTSE 100 and 9.46% for the Topix. If the index's level declines by up to 10%, its component return will be zero. If the index's level declines by more than 10%, its component return will be 1.1111 times the sum of the index return plus 10%.
Due to the maximum returns, the maximum payout at maturity is $1,263.40 per $1,000 principal amount of notes.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Notes linked to three buffered return enhanced components converted into dollars
|
| Underlying components: | Euro Stoxx 50 index (53% weight), FTSE 100 index (24% weight) and Topix index (23% weight)
|
| Amount: | $20,126,000
|
| Maturity: | Oct. 24, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return, which will equal sum of weighted component returns of basket indexes
|
| Component return: | If index's final level is greater than initial level, 200% of underlying return, subject to cap of 34.96% for Euro Stoxx 50, 23.48% for FTSE 100 and 9.46% for Topix; zero if index's level declines by up to 10%; 1.1111 times sum of index return plus 10% if index's level declines by more than 10%
|
| Initial converted levels: | 3,059.27052 for Euro Stoxx 50; 8,281.64825 for FTSE 100; 9.66091 for Topix
|
| Final levels: | For each index, average of its converted closing levels on five trading days ending Oct. 19, 2012
|
| Initial exchange rates: | 1.3492 dollars per euro; 1.5617 dollars per pound; 0.013028 dollars per yen
|
| Pricing date: | Oct. 7
|
| Settlement date: | Oct. 13
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125X6E1
|
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