By Marisa Wong
Madison, Wis., Nov. 7 - JPMorgan Chase & Co. priced $37.13 million of 0% return notes due May 9, 2014 linked to the Stoxx Europe 600 Basic Resources index converted into dollars, according to an FWP filing with the Securities and Exchange Commission.
The index is one of 19 Stoxx Europe 600 Supersector indexes that make up the Stoxx Europe 600 index. The Stoxx Europe 600 index contains the 600 largest stocks by free float market capitalization traded on the major exchanges of 17 European countries.
The Stoxx Europe 600 Basic Resources index includes companies in the basic resources supersector, which tracks companies operating in the forestry and paper sector, the industrial metals and mining sector and the mining sector.
The initial index level and the final index level will each be multiplied by the exchange rate of dollars per euro on that day.
For each $1,000 principal amount of notes, the payout at maturity will be (a) $1,000 multiplied by (b) one plus the index return multiplied by (c) 100.8%. This calculation will result in the payout being less than par if the index return is less than negative 0.79365%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | Stoxx Europe 600 Basic Resources index, converted into dollars
|
| Amount: | $37.13 million
|
| Maturity: | May 9, 2014
|
| Coupon: | 0%
|
| Price: | Par of $1,000
|
| Payout at maturity: | (a) $1,000 multiplied by (b) one plus index return multiplied by (c) 100.8%; payout will be less than par if index return is less than negative 0.79365%
|
| Initial level: | 564.18478 (index closing level of 418.69 times exchange rate of 1.3475)
|
| Pricing date: | Nov. 5
|
| Settlement date: | Nov. 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.3%
|
| Cusip: | 48126NA98
|
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