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JPMorgan plans notes on buffered return enhanced indexes, currencies
By Jennifer Chiou
New York, Aug. 31 - JPMorgan Chase & Co. plans to price 0% notes due Sept. 19, 2012 linked to buffered return enhanced components, each converted into dollars, according to an FWP with the Securities and Exchange Commission.
The basket consists of the Hang Seng China Enterprises index with a 30% weight, the Kospi 200 index with a 27% weight, the MSCI Taiwan index with a 20% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with a 9% weight. Their related currencies are the Hong Kong dollar, the Korean won, Taiwan dollar and Singapore dollar.
Each index's initial level will equal its adjusted level on the pricing date. On any day, the adjusted level of an index is its closing level multiplied by the exchange rate of its related currency on that day. Each index's final level will equal the average of its adjusted levels on the five trading days ending Sept. 14, 2012.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is flat or negative but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%. The overall maximum total return is expected to be at least 13.7%.
The notes (Cusip: 48125XU38) are expected to price on Sept. 2 and settle on Sept. 8.
J.P. Morgan Securities LLC is the agent.
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