By Toni Weeks
San Diego, June 21 - JPMorgan Chase & Co. priced $1.5 million of return notes due June 23, 2014 linked to the JPMorgan ETF Efficiente 5 PR index with variable coupons based on the relative performance of the JPMorgan ETF Efficiente 5 PR index and the JPMorgan ETF Efficiente 5 TR index, according to a 424B2 filing with the Securities and Exchange Commission.
The PR index is a notional dynamic basket that tracks the return of a portfolio of 12 exchange-traded funds, without dividends reinvested, and the JPMorgan Cash Index USD 3 Month, less a fee of 0.5% per annum that accrues daily. The TR index tracks the same basket constituents and employs the same methodology as the PR index, except that the level of the TR index reflects the reinvestment of any dividends payable on the ETF constituents.
Investors will receive a monthly coupon payment equal to par of $1,000 multiplied by (a) one plus the return of the PR index times (b) a monthly dividend rate. The monthly dividend rate is equal to the monthly return of the TR index minus the monthly return of the PR index. The PR index return will be determined with respect to the coupon determination date of the preceding month, and the monthly dividend rate will be determined with respect to the current coupon determination date.
The payout at maturity will equal (a) par times (b) one plus the PR index return minus (c) a deduction amount minus (d) a stub dividend amount. The deduction amount is $10 per $1,000 note. The stub dividend amount - which reflects the value, as of the pricing date, of the notional reinvestment in the TR index of any dividends on the ETF constituents - is $2.50 per note. The PR index return will be determined with respect to the final valuation date, June 18, 2014.
Investors will lose some or all of their initial investment at maturity if the PR index declines and the coupon payments are not sufficient to offset the negative effects of any index decline, the deduction amount and the stub dividend amount.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Return notes
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Underlying index: | JPMorgan ETF Efficiente 5 PR index and JPMorgan ETF Efficiente 5 TR index
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Amount: | $1.5 million
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Maturity: | June 23, 2014
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Coupon: | Par times (a) one plus return of PR index times (b) a monthly dividend rate equal to monthly return of TR index minus monthly return of PR index; payable monthly
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Price: | Par
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Payout at maturity: | (a) par times (b) one plus the PR index return minus (c) a deduction amount of $10 per $1,000 note minus (d) a stub dividend amount of $2.50 per note
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Initial index level: | 108.32 for PR index
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Pricing date: | June 18
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Settlement date: | June 21
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1.6%
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Cusip: | 48125VK66
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