By Toni Weeks
San Diego, Oct. 25 - JPMorgan Chase & Co. priced $15.63 million of 0% notes due Nov. 7, 2012 linked to three buffered return enhanced components, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 22% weight and the Topix index with a 23% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
If an index finishes above the initial level, its component return will be double the underlying return, up to a maximum return.
If an index falls by up to 10%, its component return will be zero.
If an index falls by more than 10%, its component return will be 0% minus 1.1111% for every 1% decline beyond 10%.
The cap is 28.5% for the Euro Stoxx, 20.9% for the FTSE 100 and 8.38% for the Topix. The maximum payout at maturity is $1,222 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
|
| Underlying components: | Euro Stoxx 50 index (55% weight), FTSE 100 index (22% weight) and Topix index (23% weight), each converted into dollars
|
| Amount: | $15,634,000
|
| Maturity: | Nov. 7, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the indexes' component returns
|
| Component returns: | Double any positive return, capped at 28.5% for Euro Stoxx, 20.9% for FTSE 100 and 8.38% for Topix; zero if index falls by up to 10%; 0% minus 1.1111% for every 1% drop beyond 10%
|
| Initial converted index levels: | 3,248.6714 for Euro Stoxx; 8,753.84789 for FTSE; 9.7752 for Topix
|
| Pricing date: | Oct. 21
|
| Settlement date: | Oct. 26
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125X6R2
|
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