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JPMorgan amends notes linked to three buffered return enhanced indexes
By Angela McDaniels
Tacoma, Wash., July 14 - JPMorgan Chase & Co. changed the caps used to calculate the payout at maturity for its upcoming 0% notes due Aug. 1, 2012 linked to three buffered return enhanced components, each converted into dollars, according to an amended FWP filing with the Securities and Exchange Commission.
The components are 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. Their related currencies are the euro, pound sterling and yen, respectively.
Each index's initial level will equal its adjusted level on the pricing date. On any day, the adjusted level of an index is its closing level multiplied by the exchange rate of its related currency on that day. Each index's final level will equal the average of its adjusted levels on the five trading days ending July 27, 2012.
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's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is flat or negative but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%. The cap will be at least 21.66% for the Euro Stoxx, 10.1% for the FTSE 100 and 5.76% for the Topix. The exact caps will be set at pricing.
Before the change, the cap was expected to be at least 20.9% for the Euro Stoxx, 9.04% for the FTSE 100 and 8.58% for the Topix.
The notes (Cusip: 48125XYR1) are expected to price July 15 and settle July 20.
J.P. Morgan Securities LLC is the agent.
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