By Jennifer Chiou
New York, May 29 - JPMorgan Chase & Co. priced a $5 million issue of zero-coupon return notes due May 31, 2011 linked to the JPMorgan Core Commodity Investable Global Asset Rotator Conditional Long-Short index, according to a 424B filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the index return and an additional amount of $92.50. Investors will be exposed to any index decline, but will receive at least $92.50.
The Core Commodity Investable Global Asset Rotator Conditional Long-Short index is a measure developed by JPMorgan to implement a momentum-based algorithmic strategy for commodity allocations. It references the value of a synthetic portfolio selected from a limited universe of commodity sub-indexes, each of which is a component of the S&P GSCI index and is intended to serve as a benchmark value for a particular commodity. The algorithm is run every month and filters out sub-indexes that have not demonstrated consistent positive monthly performance over a one-year period, attributing greater weight to more recent monthly periods.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | JPMorgan Core Commodity Investable Global Asset Rotator Conditional Long-Short index
|
| Amount: | $5 million
|
| Maturity: | May 31, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the index return plus an additional amount of $92.50
|
| Initial level: | 137.0724
|
| Pricing date: | May 27
|
| Settlement date: | May 30
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 3.37%
|
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