By Marisa Wong
Madison, Wis., Sept. 7 - JPMorgan Chase & Co. priced $6.83 million of 0% buffered return enhanced notes due Sept. 19, 2012 linked to a basket of indexes, each converted into U.S. dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Hang Seng China Enterprises index with a 30% weight, the Kospi 200 index with a 27% weight, the MSCI Taiwan index with a 20% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with a 9% weight. The underlying currency for the Hang Seng China and Hang Seng indexes is the Hong Kong dollar; the underlying currency for the Kospi is the Korean won; the related currency for the MSCI Taiwan index is the Taiwan dollar; and the currency for the MSCI Singapore is the Singapore dollar.
Each index's initial level will equal its adjusted level on the pricing date. On any day, the adjusted level of an index is its closing level multiplied by the exchange rate of its related currency on that day. Each index's final level will equal the average of its adjusted levels on the five trading days ending Sept. 14, 2012.
If the final basket level is greater than the initial level, the payout at maturity will be par plus double the basket return, subject to a maximum return of 13.7%.
If the basket return is flat or negative, but not less than negative 10%, the payout will be par.
If the basket return is less than negative 10%, investors will lose 1.1111% for every 1% basket decline beyond 10%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Hang Seng China Enterprises index (30% weight), Kospi 200 index (27% weight), MSCI Taiwan index (20% weight), Hang Seng index (14% weight) and MSCI Singapore index (9% weight); related currencies are Hong Kong dollar, Korean won, Taiwan dollar and Singapore dollar
|
| Amount: | $6,826,000
|
| Maturity: | Sept. 19, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, return capped at 13.7%; investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% basket decline beyond 10%
|
| Initial levels: | 1,369.52867 for Hang Seng China; 2,595.74190 for Hang Seng; 0.22593 for Kospi; 270.17423 for MSCI Singapore; 9.44292 for MSCI Taiwan
|
| Pricing date: | Sept. 2
|
| Settlement date: | Sept. 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XU38
|
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