By Angela McDaniels
Tacoma, Wash., Oct. 6 - JPMorgan Chase & Co. priced $1.46 million of 0% notes due Oct. 11, 2013 linked to the S&P 500 index and the J.P. Morgan Strategic Volatility index, according to an FWP filing with the Securities and Exchange Commission.
The J.P. Morgan Strategic Volatility index is a strategy that aims to replicate the returns from combining a long position and a contingent short position in futures contracts on the CBOE Volatility index, or VIX index.
The payout at maturity will be par plus the buffered enhanced equity index return plus 25% of the Strategic Volatility index return.
The buffered enhanced equity index return will be 1.3 times the return of the S&P 500 if its return is positive, subject to a cap of 33%. If the S&P 500 declines by 10% or less, it will be zero. If the S&P 500 declines by more than 10%, it will be the index return plus 10%.
The level of the Strategic Volatility index incorporates the daily deduction of (a) an adjustment factor of 0.75% per year and (b) a daily rebalancing adjustment amount that is equal to the sum of (1) 0.2% to 0.5% per day, depending on the level of the VIX index, applied to the amount of the VIX futures contracts hypothetically traded that day and (2) 0.2% to 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.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Notes
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| Underlying index: | S&P 500 and J.P. Morgan Strategic Volatility
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| Amount: | $1.46 million
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| Maturity: | Oct. 11, 2013
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus buffered enhanced equity index return plus 25% of Strategic Volatility index's return; buffered enhanced equity index return will be (a) 130% of S&P 500's return if that return is positive, up to cap of 33%, (b) zero if S&P 500 declines by 10% or less or (c) index return plus 10% if S&P 500 declines by more than 10%
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| Initial index levels: | 1,143.04 for S&P 500 and 573.84 for Strategic Volatility
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| Pricing date: | Oct. 5
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| Settlement date: | Oct. 11
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.64%, including 0.1% for selling concessions
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| Cusip: | 48125X5P7
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