By Marisa Wong
Madison, Wis., Feb. 28 - JPMorgan Chase & Co. priced $18.41 million of 0% notes due March 13, 2013 linked to a weighted basket of three buffered return enhanced components, 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 payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
The initial level of each index will be its closing level on the pricing date multiplied by the exchange rate of its underlying currency relative to the dollar on that day. The final level of each index will be the average of its adjusted closing levels on the five trading days ending March 8, 2013. The adjusted closing level of each index on each of the averaging days is equal to the closing level multiplied by the applicable exchange rate on that day.
If an index's final level is greater than its initial level, its component return will be double its return, subject to a maximum return of 19.6%. If the index declines by 10% or less, its component return will be zero. If the index declines by more than 10%, its component return will be 1.1111 times the sum of its return plus 10%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Notes
|
| Underlying indexes: | Euro Stoxx 50 index (55% weight), Topix index (23% weight) and FTSE 100 index (22% weight)
|
| Amount: | $18,411,000
|
| Maturity: | March 13, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns of basket indexes; if index's final level is greater than initial level, component return will be double return, subject to cap of 19.6%; if index declines by 10% or less, component return will be zero; if index declines by more than 10%, component return will be 1.1111 times the sum of its return and 10%
|
| Initial levels: | 2,523.69 for Euro Stoxx, 5,935.13 for FTSE, 834.29 for Topix
|
| Initial spot rates: | 1.3463 for euro, 1.58575 for pound, 0.0123939 for yen
|
| Pricing date: | Feb. 24
|
| Settlement date: | Feb. 29
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VPC8
|
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