By Toni Weeks
San Diego, Nov. 7 - JPMorgan Chase & Co. priced $1.08 million of 0% return notes due Feb. 10, 2014 linked to the J.P. Morgan Strategic Volatility Dynamic Index (Series 1) (USD), according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the index return. If the index level declines, investors will receive less than par.
Holders can request that the company repurchase their notes early. The payout will be par plus the index return minus a 0.5% repurchase fee. The issuer said it intends to accept all requests for repurchase but is not obligated to.
The index aims to replicate the returns from combining a fixed long position and a scaled short position in futures contracts on the CBOE Volatility index, or VIX index.
The index is rebalanced daily, and the index level incorporates a daily deduction of an index fee of 0.75% per year and a daily rebalancing adjustment amount that is equal to the sum of (a) a rebalancing adjustment factor of between 0.2% and 0.5% per day, depending on the level of the VIX index, applied to the aggregate notional amount of each of the VIX futures contracts hypothetically traded that day and (b) an additional amount equal to 0.2% and 0.5% per day, depending on the level of the VIX index, applied to the amount of the change, if any, in the level of the exposure to the synthetic short position.
The daily rebalancing adjustment amount is intended to approximate the "slippage costs" that would be experienced by a professional investor seeking to replicate the hypothetical portfolio contemplated by the index at prices that approximate the official settlement prices (which are not generally tradable) of the relevant VIX futures contracts.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | J.P. Morgan Strategic Volatility Dynamic Index (Series 1)
|
| Amount: | $1,075,000
|
| Maturity: | Feb. 10, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus index return with exposure to losses
|
| Put option: | Par plus index return minus 0.5% repurchase fee
|
| Initial level: | 317.02
|
| Pricing date: | Nov. 5
|
| Settlement date: | Nov. 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.25%, all for selling concessions
|
| Cusip: | 48126DGX1
|
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