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Published on 9/29/2011 in the Prospect News Structured Products Daily.

New Issue: JPMorgan prices $952,000 0% buffered return enhanced notes on iShares EM index fund

By Toni Weeks

San Diego, Sept. 29 - JPMorgan Chase & Co. priced $952,000 of 0% buffered return enhanced notes due March 28, 2013 linked to the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus double any gain in the fund, up to a maximum return of 21%.

Investors will receive par if the fund declines by up to 15% and will lose 1% for every 1% decline beyond 15%.

J.P. Morgan Securities LLC is the agent.

Issuer:JPMorgan Chase & Co.
Issue:Buffered return enhanced notes
Underlying fund:iShares MSCI Emerging Markets index fund
Amount:$952,000
Maturity:March 28, 2013
Coupon:0%
Price:Par
Payout at maturity:Par plus double any fund gain, up to a maximum return of 21%; par if fund declines by up to 15%; exposure to losses beyond 15%
Initial price:$37.58
Pricing date:Sept. 27
Settlement date:Sept. 30
Agent:JPMorgan Securities LLC
Fees:2%
Cusip:48125XZ66

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