By Susanna Moon
Chicago, Oct. 28 - JPMorgan Chase & Co. priced $6.77 million of 0% return notes due Jan. 31, 2013 linked to the J.P. Morgan Strategic Volatility index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus any index gain. Investors will be exposed to any losses.
The notes are putable at par less a repurchase fee of 0.5%.
The index is a synthetic, dynamic strategy that aims to replicate the returns from combining a long position and a contingent short position in futures contracts on the CBOE Volatility index, where the synthetic long position and, when activated, the synthetic short position, after being established initially in the second-month VIX futures contract or the first-month VIX futures contract, respectively, are rolled throughout each month.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | J.P. Morgan Strategic Volatility index
|
| Amount: | $6,768,000
|
| Maturity: | Jan. 31, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus index gain, with exposure to any losses
|
| Put option: | At par minus 0.5%
|
| Initial level: | 481.36
|
| Pricing date: | Oct. 26
|
| Settlement date: | Oct. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.25%
|
| Cusip: | 48125X5L6
|
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