By Toni Weeks
San Diego, Feb. 14 - JPMorgan Chase & Co. priced $22.14 million of 0% notes due Feb. 27, 2013 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 55% weight, the Topix index with a 23% weight and the FTSE 100 index with a 22% weight. Their underlying currencies are the euro, the Japanese yen and the British pound sterling, respectively.
The adjusted closing level for each basket index on any day is equal to the index's closing level multiplied by the exchange rate of the underlying currency that day.
The final level for each basket index will equal the average of the adjusted closing levels on the five trading days ending Feb. 22, 2013.
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 finishes above the initial level, its component return will be double the underlying return, up to a maximum return of 19.5% for each index.
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 maximum payout at maturity is $1,195 per $1,000 principal amount of notes.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Euro Stoxx 50 index (55% weight), Topix index (23% weight) and FTSE index (22% weight) and their related currencies converted into dollars (euro, Japanese yen, British pound sterling, respectively)
|
| Amount: | $22,142,000
|
| Maturity: | Feb. 27, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns of basket indexes; if an index finishes above initial level, its component return will be double the underlying return, up to maximum return of 19.5%; if index falls by up to 10%, its component return will be zero; if an index falls more than 10%, its component return will be 0% minus 1.1111% for every 1% decline beyond 10%; maximum payout of $1,195 per $1,000 principal amount
|
| Initial index levels: | 2,480.76 for Euro Stoxx, 779.07 for Topix and 5,852.39 for FTSE
|
| Initial exchange rates: | 1.3189 for euro, 0.01288 for yen, 1.5752 for pound
|
| Pricing date: | Feb. 10
|
| Settlement date: | Feb. 15
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VMU1
|
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