By Angela McDaniels
Tacoma, Wash., Feb. 8 - JPMorgan Chase & Co. priced $71.47 million of 0% notes due Feb. 23, 2012 linked to three buffered return enhanced components, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight.
The initial level and final level of each index will be converted into dollars at the exchange rate then in effect. The component currency is the euro for the Euro Stoxx 50, the British pound sterling for the FTSE 100 and the Japanese yen for the Topix.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than or equal to zero but not less than negative 10%, its component return will be zero. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.11111% for every 1% that the underlying return is less than negative 10%.
The cap is 20.64% for the Euro Stoxx, 15.04% for the FTSE 100 and 5.52% for the Topix. The maximum payout at maturity is $1,156.20 per $1,000 principal amount of notes.
The final level for each index will be the average of its converted closing levels on the five trading days ending Feb. 17, 2012.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Notes linked to three buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (51% weight), FTSE 100 index (25% weight) and Topxi index (24% weight), each converted into dollars
|
| Amount: | $71,466,000
|
| Maturity: | Feb. 23, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the indexes' component returns
|
| Component returns: | Double any positive return, capped at 20.64% for Euro Stoxx, 15.04% for FTSE 100 and 5.52% for Topix; zero if return is between zero and negative 10%; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
| Initial converted index levels: | 4,070.52373 for Euro Stoxx 50; 9,630.59280 for FTSE 100; 11.40952 for Topix
|
| Initial exchange rates: | 1.3554 for euro; 1.6058 for pound; 0.012198 for yen
|
| Pricing date: | Feb. 4
|
| Settlement date: | Feb. 9
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XDB9
|
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