By Jennifer Chiou
New York, March 2 - JPMorgan Chase & Co. priced $32.24 million of 0% notes due March 14, 2012 linked to a basket of 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 payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
For each index, the underlying return will be the return of the index multiplied by the return of its related currency relative to the dollar. The final level of each index or currency will be the average of its closing levels on the five trading days ending March 9, 2012. The initial exchange rates, closing levels and respective initial levels using those rates are quoted below.
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 flat or negative but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.
The cap is 16% for the Euro Stoxx 50, 13.25% for the FTSE 100 and 13.08% for the Topix. The maximum payout at maturity is $1,146.12 per $1,000 principal amount of notes.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (51% weight), FTSE 100 index (25% weight) and Topix index (24% weight) and their related currencies, the euro, pound and yen
|
| Amount: | $32,235,000
|
| Maturity: | March 14, 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 16% for Euro Stoxx, 13.25% for FTSE 100 and 13.08% for the 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 index levels: | 4,103.8055 for Euro Stoxx 50; 9,645.12864 for FTSE 100; 11.52357 for Topix
|
| Closing levels at pricing: | 2,985.02 for Euro Stoxx 50; 6,001.20 for FTSE 100; 941.93 for Topix
|
| Exchange rates: | 1.3748 for euro; 1.6072 for pound; 0.012234 for yen
|
| Pricing date: | Feb. 25
|
| Settlement date: | March 2
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XFK7
|
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