By Marisa Wong
Madison, Wis., May 27 - JPMorgan Chase & Co. priced $24.2 million of 0% return enhanced notes due Nov. 30, 2011 linked to the Hang Seng China Enterprises index, converted into U.S. dollars, according to a 424B2 filing with the Securities and Exchange Commission.
On any trading day, the adjusted closing level will equal the closing index level multiplied by the U.S. dollar per Hong Kong dollar exchange rate on that day.
The final level will equal the averaged of the adjusted closing levels for the five averaging days ending Nov. 25.
The payout at maturity will be par plus triple any index gain, up to a maximum return of 15.36%.
Investors will share fully in losses.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Return enhanced notes
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Underlying index: | Hang Seng China Enterprises
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Amount: | $24.2 million
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Maturity: | Nov. 30, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus triple any index gain, return capped at 15.36%; full exposure to losses
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Initial level: | 1,630.49441
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Pricing date: | May 25
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Settlement date: | May 31
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.5%
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Cusip: | 48125XSY3
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