By Angela McDaniels
Tacoma, Wash., May 26 - JPMorgan Chase & Co. priced $2.47 million of 0% return notes due May 30, 2012 linked to the MDAX index converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The initial index level and the final index level are each converted into dollars at the exchange rate then in effect.
The payout at maturity will be (a) par multiplied by (b) one plus the index return multiplied by (c) the index adjustment factor, which is 98.8%.
The index return will equal the quotient of (a) the final index level minus the initial index level divided by the (b) initial index level.
Because of the adjustment factor, investors will lose principal if the index return is less than 1.21%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | MDAX converted into dollars
|
| Amount: | $2,471,000
|
| Maturity: | May 30, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Product of (a) par multiplied by (b) one plus index return multiplied by (c) 98.8%
|
| Initial adjusted index level: | 15,010.73206
|
| Pricing date: | May 24
|
| Settlement date: | May 27
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XSS6
|
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