By Jennifer Chiou
New York, May 17 - JPMorgan Chase & Co. priced $6.66 million of 0% capped daily observation knock-out notes due May 31, 2012 linked to Chevron Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.
If the price of Chevron stock falls by more than 20% during the life of the notes, the payout at maturity will be par plus the stock return, with exposure to any losses.
Otherwise, the payout will be par plus the greater of the stock return and a contingent minimum return of 10.6%.
In either case, the maximum payment at maturity is $1,200 per $1,000 principal amount.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped daily observation knock-out notes
|
| Underlying stock: | Chevron Corp. (NYSE: CVX)
|
| Amount: | $6.66 million
|
| Maturity: | May 31, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If stock falls by more than 20% during life of notes, par plus stock return, with exposure to losses; otherwise, par plus greater of stock return and 10.6%; in either case, return capped at 20%
|
| Initial price: | $102.39
|
| Pricing date: | May 13
|
| Settlement date: | May 18
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XRN8
|
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