By Angela McDaniels
Tacoma, Wash., July 27 - JPMorgan Chase & Co. priced $271,000 of additional 0% return notes due Oct. 22, 2012 linked to the J.P. Morgan Strategic Volatility index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes bring the total issue size to $2.25 million. The add-on priced at 103 for proceeds of $279,130. The original $1.98 million of notes priced at par.
The index aims to replicate the returns from combining a long position and a contingent short position in futures contracts on the CBOE Volatility index.
The index is rebalanced daily, and the index level incorporates a daily deduction of an index fee of 0.75% per year and a daily rebalancing adjustment amount. The adjustment amount will be based on an adjustment factor of 0.2% to 0.5% per day that depends on the level of the CBOE Volatility index.
The daily rebalancing adjustment amount is intended to approximate the "slippage costs" that would be experienced by a professional investor seeking to replicate the hypothetical portfolio contemplated by the index at prices that approximate the official settlement prices (which are not generally tradable) of the relevant VIX futures contracts.
The payout at maturity will be par plus the index return on Oct. 17, 2012, which could be positive or negative.
Holders can request that the company repurchase their notes early. The payout will be par plus the index return and minus a 0.5% repurchase fee. The issuer said it intends to accept all requests for repurchase but is not obligated to.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | J.P. Morgan Strategic Volatility index
|
| Amount: | $2,248,000, increased from $1,977,000
|
| Maturity: | Oct. 22, 2012
|
| Coupon: | 0%
|
| Price: | Par for original issue; 103 for add-on
|
| Payout at maturity: | Par plus index return on Oct. 17, 2012
|
| Repurchase option: | Holders can request that issuer repurchase their notes at par plus index return minus 0.5% fee
|
| Initial index level: | 376.82
|
| Pricing dates: | July 18 for $1,977,000; July 25 for $271,000
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| Settlement dates: | July 21 for original issue; July 26 for add-on
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.25%, all of which will be used for selling concessions
|
| Cusip: | 48125XYY6
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