By Angela McDaniels
Tacoma, Wash., June 30 - JPMorgan Chase & Co. priced $27.24 million of 0% notes due July 31, 2012 linked to three buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
The components are the Russell 3000 index with a 60% weight, the iShares MSCI EAFE index fund with a 25% weight and the iShares MSCI Emerging Markets index fund with a 15% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket components.
If a basket component finishes above its initial level, its component return will be 1.5 times the underlying return, subject to a cap. If a basket component falls by 10% or less, its component return will be zero. If a basket component falls by more than 10%, its component return will be 0% minus 1.1111% for every 1% decline beyond 10%.
The final level of each basket component will equal the average of its closing levels on the five trading days ending July 26, 2012.
The cap is 13.05% for the Russell 3000, 20.9% for the iShares MSCI EAFE and 18.8% for the iShares MSCI Emerging Markets, resulting in a maximum payout at maturity of $1,158.75 per $1,000 principal amount of notes.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Notes linked to three buffered return enhanced components
|
| Underlying components: | Russell 3000 index (60% weight), iShares MSCI EAFE index fund (25% weight) and iShares MSCI Emerging Markets index fund (15% weight)
|
| Amount: | $27,241,000
|
| Maturity: | July 31, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return, which equals sum of weighted component returns of basket components
|
| Component return: | If basket component finishes above initial level, 1.5 times underlying return, subject to cap of 13.05% for Russell 3000, 20.9% for iShares MSCI EAFE and 18.8% for iShares MSCI Emerging Markets; if basket component falls by 10% or less, zero; otherwise, 0% minus 1.1111% for every 1% decline beyond 10%
|
| Initial levels: | 765.94 for Russell 3000; $57.60 for iShares MSCI EAFE; $46.03 for iShares MSCI Emerging Markets
|
| Final levels: | Average of closing levels on five trading days ending July 26, 2012
|
| Pricing date: | June 27
|
| Settlement date: | June 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.417%, including 0.25% for selling concessions
|
| Cusip: | 48125XVR4
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