By Susanna Moon
Chicago, Jan. 4 - JPMorgan Chase & Co. priced $1.53 million of 0% capped buffered return enhanced notes due Feb. 6, 2014 linked to a basket comprising an index and three funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the SPDR S&P 500 exchange-traded fund trust with a 40% weight, the iShares MSCI Emerging Markets index fund with a 25% weight, the Russell 2000 index with a 20% weight and the iShares MSCI EAFE index fund with a 15% weight.
The payout at maturity will be par plus 1.3 times any gain in the basket, up to a maximum return of 10%.
Investors will receive par if the shares fall by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
J.P. Morgan Securities LLC is the underwriter.
Issuer: | JPMorgan Chase & Co.
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Issue: | Capped buffered return enhanced notes
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Underlying basket: | SPDR S&P 500 exchange-traded fund trust (40% weight), the iShares MSCI Emerging Markets index fund (25% weight), the Russell 2000 index (20% weight) and the iShares MSCI EAFE index fund (15% weight)
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Amount: | $1,534,000
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Maturity: | Feb. 6, 2014
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 130% of any basket gain, capped at 10%; par if shares fall by up to 10%; 1.1111% loss for every 1% decline beyond 10%
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Pricing date: | Jan. 2
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Settlement date: | Jan. 7
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48126DPU7
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