By Marisa Wong
Madison, Wis., May 26 - JPMorgan Chase & Co. priced $2.47 million of 0% knock-out buffered notes due May 30, 2012 linked to the Euro Stoxx 50 index converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The adjusted closing level of the index on any day is equal to the closing index level on that day multiplied by the dollar per euro spot rate on that day.
A knock-out event occurs if the adjusted closing index level is less than the initial level by more than 27% on any day during the life of the notes.
If the final index level is greater than the initial level, the payout at maturity will be par plus the index gain.
If the final level is less than or equal to the initial level but a knock-out event has not occurred, the payout will be par.
If the final level is less than the initial level and a knock-out event has occurred, investors will receive par plus the index return and will be fully exposed to the index decline.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Knock-out buffered notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $2,471,000
|
| Maturity: | May 30, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level is greater than initial level, par plus the gain; if final level is less than or equal to initial level but a knock-out event has not occurred, par; if final level is less than initial level and a knock-out event has occurred, par plus the index return with full exposure to losses
|
| Knock-out buffer: | 27%
|
| Initial index level: | 3,950.91121
|
| Pricing date: | May 24
|
| Settlement date: | May 27
|
| Underwriter: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XST4
|
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