By Toni Weeks
San Diego, Dec. 6 - JPMorgan Chase & Co. priced $2.59 million of 0% notes due Dec. 6, 2013 linked to the S&P 500 index and the J.P. Morgan Strategic Volatility index, according to a 424B2 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 equity index return plus the Strategic Volatility overlay amount.
If the final level of the S&P 500 index is equal to or greater than the initial level, the buffered enhanced equity index return will be 1.3 times the index return, capped at 31.5%.
If the level of the S&P 500 index falls by up to 10%, the buffered equity index return will be equal to zero. If the index falls by more than 10%, the buffered equity index return will reflect losses beyond 10%.
The Strategic Volatility overlay amount will be the Volatility index return times 25%. The Volatility index return will be reduced by the volatility index fee of 0.75% per year and the daily rebalancing adjustment amount.
The adjustment amount will be based on an adjustment factor of 0.2% to 0.5% per day that depends on the level of the VIX index and an additional amount of 0.2% to 0.5% per day, also 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
|
| Underlying indexes: | S&P 500 and J.P. Morgan Strategic Volatility
|
| Amount: | $2,594,000
|
| Maturity: | Dec. 6, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 25% of Strategic Volatility index return plus buffered enhanced equity index return, which is 1.3 times the return of the S&P 500 if its return is positive, up to a cap of 31.5%, zero if the S&P 500 declines by 10% or less and the index return plus 10% if the S&P 500 declines by more than 10%
|
| Initial index levels: | 1,244.58 for S&P 500 and 479.01 for Strategic Volatility
|
| Pricing date: | Dec. 1
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| Settlement date: | Dec. 6
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.25%, including 0.1% for selling concessions
|
| Cusip: | 48125VDG2
|
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