By Susanna Moon
Chicago, Dec. 28 - JPMorgan Chase & Co. priced $2 million of 0% contingent buffered return enhanced notes due June 28, 2012 based on the iShares MSCI Emerging Markets fund, according to an FWP with the Securities and Exchange Commission.
The payout at maturity will be par plus double any fund gain, up to a maximum return of 20.1%.
Investors will receive par if the shares fall by up to 30% and will lose 1% for each 1% drop beyond the initial price if the fund finishes below the 70% buffer level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent buffered return enhanced notes
|
| Underlying stock: | iShares MSCI Emerging Markets Index Fund
|
| Amount: | $2 million
|
| Maturity: | June 28, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | 200% of any fund gain, capped at 20.1%; full exposure to losses if shares fall by more than 30%
|
| Initial price: | $46.61
|
| Pricing date: | Dec. 23
|
| Settlement date: | Dec. 29
|
| Agent: | JPMorgan Securities LLC
|
| Fees: | 0.675%, including 0.1% for selling concessions
|
| Cusip: | 48124A6B8
|
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