By Angela McDaniels
Tacoma, Wash., Feb. 4 - JPMorgan Chase & Co. priced $86.4 million of 0% return enhanced notes due Aug. 5, 2011 linked to the Euro Stoxx 50 index converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The initial index level and final index level are each converted into dollars at the exchange rate then in effect.
The payout at maturity will be par plus double any increase in the index, subject to a maximum return of 24.9%. Investors will be exposed to any decline in the index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return enhanced notes
|
| Underlying index: | Euro Stoxx 50 converted into dollars
|
| Amount: | $86.4 million
|
| Maturity: | Aug. 5, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any index gain, up to maximum return of 24.9%; exposure to any index decline
|
| Initial index level: | 4,160.23743
|
| Final: | Average of index's converted levels on the five trading days ending Aug. 2
|
| Pricing date: | Feb. 2
|
| Settlement date: | Feb. 7
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5%
|
| Cusip: | 48125XDN3
|
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