By Angela McDaniels
Tacoma, Wash., Aug. 8 - JPMorgan Chase & Co. priced $8.25 million of 0% notes due Sept. 9, 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 Russell 3000 index with an 80% weight, the iShares MSCI EAFE index fund with a 15% weight and the iShares MSCI Emerging Markets index fund with a 5% 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 an basket component's final level is greater than its initial level, its component return will be 1.5 times its return, subject to a maximum return of 14.75% for the Russell 3000, 22.1% for the iShares MSCI EAFE and 20.35% for the iShares MSCI Emerging Markets. If the basket component declines by 10% or less, its component return will be zero. If the basket component 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.
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| Issue: | Notes linked to weighted basket of three buffered return enhanced components
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| Underlying components: | Russell 3000 index (80% weight), iShares MSCI EAFE index fund (15% weight) and iShares MSCI Emerging Markets index fund (5% weight)
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| Amount: | $8.25 million
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| Maturity: | Sept. 9, 2013
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus sum of weighted component returns of basket components
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| Component return: | If basket component's final level is greater than initial level, 150% of underlying return, subject to cap of 14.75% for Russell 3000, 22.1% for iShares MSCI EAFE and 20.35% for iShares MSCI Emerging Markets; zero if basket component's level declines by up to 10%; 1.1111 times sum of basket component return plus 10% if basket component's level declines by more than 10%
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| Initial levels: | 819.29 for Russell 3000; $51.35 for iShares MSCI EAFE; $40.18 for iShares MSCI Emerging Markets
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| Pricing date: | Aug. 6
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| Settlement date: | Aug. 9
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.3068%, including 0.1568% for selling concessions
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| Cusip: | 48125VW97
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