By Angela McDaniels
Tacoma, Wash., May 30 - JPMorgan Chase & Co. priced $28.55 million of 0% notes due June 12, 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 Euro Stoxx 50 index with a 55% weight, the Topix index with a 23% weight and the FTSE 100 index with a 22% weight. The indexes' underlying currencies are the euro, the Japanese yen and the British pound sterling, respectively.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
The initial level of each index is its closing level on the pricing date multiplied by the exchange rate of its underlying currency relative to the dollar on that day. The final level of each index will be the average of its converted closing levels on the five trading days ending June 7, 2013.
If an index's final level is greater than its initial level, its component return will be double its return, subject to a maximum return of 21.8% for each index. If the index declines by 10% or less, its component return will be zero. If the index 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.
|
| Issue: | Notes linked to weighted basket of three buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (55% weight), Topix index (23% weight) and FTSE 100 index (22% weight)
|
| Amount: | $28.55 million
|
| Maturity: | June 12, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns of basket indexes
|
| Component return: | If index's final level is greater than initial level, 200% of underlying return, subject to cap of 21.8%; zero if index's level declines by up to 10%; 1.1111 times sum of index return plus 10% if index's level declines by more than 10%
|
| Initial converted level: | 2,704.93174 for Euro Stoxx 50; 8,367.65231 for FTSE 100; 9.07187 for Topix
|
| Initial exchange rates: | 1.2515 for euro; 1.5636 for pound; 0.012563 for yen
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| Final index level: | Average of index's converted closing levels on the five trading days ending June 7, 2013
|
| Pricing date: | May 25
|
| Settlement date: | May 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VZW3
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